I saw these from Confetti System, and tried to make my own for Easter. I completely forgot about posting my endeavour...
I tried too hard to make a many sided geometric shape - so I would recommend sticking to the types of shapes in the picture above. 8 sides = achievable. 20? It took hours. But it was fun all the same.
I think next time it would make a brilliant light fitting... as my Aunty pointed out.
Once you have made the shell in any shape you please (remember to leave a hole to put your piñata fillings in) you cut frills all along a length of folded over tissue paper and paste in rows all over (starting from the bottom) so they overlap one another.
images: top;confetti, system, images below; steph @ 1001ways