1) Make the point source.

The easiest way of getting a point source is to use a clear LED. These are the ones where you can see the silicon die within the LED. To make a point source, simply remove the dome from the LED and try to remove as much plastic as possible with out damaging the LED. So I just has a yellow LED which I sanded down and polished by rubbing it on a piece of paper. It worked well enough.

2) Acquire the lenses.

There are quite specific requirements for the lenses.
First find the focal length of the lens. This could be done a number of different ways. You could go outside and focus the light from the sun to a point (It will burn things), or focus light from a lamp until you can see the shape of the light source (eg. the shape of filament or fluorescent bulb).

Once you have the focal length, place your point source facing the lens at the focal point of the lens. The resultant beam should be the same size no matter how far away from the lens it is. It should also have uniform intensity. If anything is placed in the beam it should cast a sharp shadow of the same size as the object. Check this for both the lenses that you will be using.

3) Making the pinhole aperture

So this could be done a number of ways.
Place aluminum foil on a hard surface and poke it with a needle.
I used a thicker material to make it easier to mount. To make an aperture in sheet steel, I placed a dent in it using a nail that has been ground to have cone tip. Then I sanded the dome formed on the opposite side until there was a hole.

4) Hold it all in place

This could be anything from taping it all to the table to fully CNC machining a mounting system. I'll just describe my method. I started off with an MDF base. I used a scrap C channel to hold and adjust the lenses. Mounting for the point source, aperture and camera where made from aluminum angle bracketed and bars. The setup holds steady and was able to produce a consistent result.

5) Lights Camera Action....

Turn on the light source.
Make sure the beam is parallel.
Place aperture at the focal point of the second lens.

Place camera inline with the whole system. When fully zoomed out the camera should see a bright point where the aperture is. Zoom in on this point until it almost fills the screen. Fine tune the positioning until you get the brightest and most symmetrical image. Adjust the distance between the aperture and the second lens until the image is uniform. Now anything between the two lenses will cast a silhouette and any gas with different density will show as a ripple.