I assume you're talking about the photos at
http://www.flickr.com/photos/bgruagach/sets/466486/
They're actually just regular sparklers that we waved in the air while taking photos with my digital camera. I had the camera set to "low light mode" which makes it take the photos with a longer exposure. That way there was a noticeable lag between the time I pressed the button on the camera to take the photo and the little "beep" it makes when the photo is done -- and the lag is long enough for people to do things like draw things as you see in the photos.
One of those photos was published with an article I wrote that appeared in the Summer 2005 issue of Circle Magazine. In the article I talk about how you draw things in the air with the sparklers but can't see the finished design until you see the photo after it's been taken.
I imagine if you had a toy wand that lights up at the end you could get the same effect taking photos at night with the "low light mode" on your camera. The sparklers are pretty cool though with all the sparks.