You've probably either seen or heard about these before. I definitely have seen quite a few posts about them going around blogland. I just had to give it a shot. I just searched "Bokeh Filter Tutorials" and found about a million of them. Here's a few of them:
DIY Photography
A Bit of Sunshine
Pompo
KristyKreme

My first and only tip about doing this is DON'T GIVE UP. It's tough to master this. I couldn't even get my pictures to come out 100% like I wanted them. Here's my take on this method:

 Here's my very own homemade bokeh filter. Don't worry I fixed the holes before I used it.
 I had a BUNCH of mess ups and fails but some shots did come out really neat.






I tried a candle but with little success, I moved onto Christmas lights. I had to zoom in very far to actually see the heart shape of the lights. My camera is basically just a fancy point and shoot. It looks like a DSLR camera. HA. I wish. See: