Here's how to do it:

Get some construction paper, lots of various coloured crayons (the old barrel of broken and stubby ones are perfect for this), a pencil sharpener, some scissors, some glue, and plenty of thick wax paper.
Dump all this on your kitchen table.
Put two pieces of construction paper together and cut various holes and designs out of them. These are your "frames".
Roll out two pieces of wax paper the same size as the construction paper and lay one of them on top of one of the frames.
Make shavings from your crayolas, lots of them, on the wax paper in the same area as the holes of the frame. Go wild with the colours!
Put the other sheet of wax paper on top, then line your matching frame on top. Glue them all together, and let the glue dry.
Now's the other fun part: hold high over a candle or stove burner and watch the crayolas melt! You can also put it in the microwave, if small enough, but only for a couple of seconds.
Be very careful not to burn yourself, or your creation! If using a candle, you can experiment with smoking the "windows".
Hang from window or around a light source and admire until it all falls apart, or your parents/roommates/significant others throw them out.

You can experiment all you want, but one really fun thing is to make butterflies: black construction paper for the body and wings, cutting big teardroppy frames in the wings. A monarch butterfly is easy, as you just use the orange, red and yellow crayons for colours, but you can also try making Mothra with foil body!