It was pretty simple (a "*" is an optional step):
1. Take a piece of steel wire and bend it into an interesting shape, with a wide base at both ends. I recommend taking a few minutes to plan out the shape of the steel wire.
*2. Put a V-shaped feature on each end and cover it with electrical tape, so you can rest the wand somewhere without having to remove the battery.
3. Solder one end to a buzzer's lead wire.
4. Solder the buzzer's other lead wire to one terminal of a battery carrier (I used 1AAA, but you can use whatever you want). Consider the buzzer's +ve and -ve requirement.
5. Solder the battery carrier's other terminal to a longish wire (I used 16AWG).
*6. Rip everything out of a Bic pen until you just have the tube (you can poke out the head cap by pushing from inside the tube using the steel wire).
*7. Thread the 16AWG or similar wire through the Bic tube.
8. Strip the end of the 16AWG wire and bend it into a little circle.
*9. Attach the end of the Bic tube to the circle's neck with electrical tape so it stays put.
10. Pass the circle over the free end of the steel wire.
11. Insert a battery.
I originally wanted to wire a Nite-Ize PR LED in there as well, but it would need at least two cells, which would make the buzzer too loud.
That little loop goes around the thick line, and if they make contact, the circuit closes.
The 1AAA that I used should last about 4-5 months of constant-on.