I've used a toaster... used a beer bong tube with a rubber stopper inside of it with a glass slider/screen contraption to hold it... it works but i wouldnt do it ever again
[ame]http://www.youtube.com/watch?v=wmixODIvAtM[/ame] Never tried this method... But it's cheap and easy.
You can find thicker bulbs. Also make sure to be patient when trying to make it, that's the biggest thing.