Clear or semi-clear milk cartons and juice bottles with handles for attaching the rope work great.
Walmart has some reusable light sticks for 3-4 dollars.
You must keep them completely dry in the bottle(s)!
I use bleach bottles. I go to the laundrymat and grab them from the trash. I wrap two wraps of reflective tape from Wal-Mart and I got 100 mixed color glow sticks from eBay for ~$9 bucks plus shipping.