Blow the balloon and knot it. (You can't use rubberband or thread to tie. Really) Dilute 1 part Fevicol with 4 parts water. Mix. Add colour. Mix.
(You will need lots of solution. About a liter.)
Dip twine in solution and start randomly going over your balloon. Wrap. Wrap. Wrap. Wrap. Till your arms hurt. And your back does too. Then wrap some more. Then place in a bucket or bowl to dry. Allow the twine to only touch the sides of the bowl and not the base, otherwise your project will flop. Miserably. And you will curse yourself. (Some blogs suggest that you hang the ballon, but it really does not work.)
After about 36 hours or so when the twine is dry / hard, pop the balloon. Use the small hole you left behind to insert a bulb. (it's important that you leave a small circular hole, you do need the insert a bulb, don't you?)
(We tied thread and used that too tie the lamp to the electrical wire. A wiser and less tackier way would be to off centre the lamp and pass the wire through one of the natural holes in the lamp and use the man-made hole to change the lamp.)
Holler if you need help. Or need a lamp.
PS: I made 5 so far. Green. Grey. Orange (bombed). Cream. Red.