Note: This is basically a placeholder for a future breakdown. It still has some resources for you to dive into in order to construct your own but it's not a step by step write up.
Mind Flex levitating ball game headset using Neurosky chip. You can find them on ebay for under $20
Arduino Brain Library
Processing Brain Visualizer
controlP5 Processing GUI Library
I have code partially written for use of this hardware with Unity, needs a bit more work before release.