Has anyone tried building their own?
For the Fenix E01 a red Chapstick cap will work - they now make them with white plastic and a red cover, but they may still make them out of red translucent plastic in the US. Various bottle caps are a good place to start.
I bought a sheet of rubylith 3mil on ebay and just cut out what I need for red light
Running a red light is an unsafe thing to do, and since red light cameras make it easy to make sure people are penalized appropriately, the devices seem a fantastic expense. There are many people in cities with the cameras, along with some city governments, that are attempting to rid themselves of the cameras for a variety of reasons. I found this here: Red light cameras facing backlash from cities
wallshot of the beam? 
looks great!