I've used floral styrofoam balls that can be found at places like Michaels Arts and Crafts stores, then I drill a hole into the center of them and guide a string through the hole and tie a washer on the end of the string so it wont slip back through the hole. On the other end of the string I use a largish deep sea fishing weight tied on. Then I use some flourescent paints to paint the ball.

This kind of setup makes it easy to store them by just winding the string around the ball when Im done playing with them. I dont use fishing line for the string because it tends to get knotted up at times. And if you leave the string realatively long you can adjust the weight on it to a length that you want to attempt to anchor it to the bottom of wherever you are boating, and when you dont need a long string you can tie it up in a looped fashion so that it doesnt float to the surface and chance getting sucked into a prop.