You can be very inventive here. First you can take the easy way and use plastic cups from individual servings of long life milk. Second, you can melt and mould Styrofoam cups. Third you can stitch up some little hats from fabric.
Warning: Making these can be dangerous to your health! If you suffer from any kind of lung condition DO NOT DO THIS! You will need a well ventillated kitchen area - turn on all the exhaust fans and throw open the windows!
Pre heat the oven to 220 degrees celcius. You will do these one at a time. Get an oven mit and a light bulb handy. Place one cup in the oven and count the seconds down - 1 and 2 and...to about 25 and take a peak at the cup. The point at which it melts and starts to collapse is where you will find the variation in hat designs you can make. leave it too long and it will burn, giving off it's payload of TOXIC fumes.
Be prepared to experiment a little with how you count the seconds and how your oven works. It's a bit like playing it safe with the kids at the pool - not good enough just to be there...you have to WATCH. Pull the melted cup from the oven. It will not be too hot to touch so pick it up. It will be all soft and floppy. Place it over the end of the light bulb and mould into shape. Don't mould it so tight to the bulb that you can't get it off. Work quickly as they cool fast. Now heat up a steel meat skewer and poke a hole into the top of the hat for your wire to come through. Once the hat is moulded you can then paint it with an all purpose sealer and then decorate it.