There's a couple of ways:
Take a pair of pantyhose and a wire coat hanger. Bend the hanger into about an eight inch circle, leaving the excess wire so that it looks like a balloon with a string dangling from it. Then stretch the feet of the pantyhose over the hanger. I prefer to double it. Then, attach your creation to your mic stand. Duct tape usually works good.
The other is the same as the first, but you have to go to a craft store and buy one of those wooden hoops. Stretch the panyhose over it and then figure out someway to attach it to your mic stand.