This is basically just a clear plastic pencil case, filled with coloured rice and small objects, with a picture of the objects attached to show what you're looking for.
I found the pencil case at Dollar Tree. I used vinegar and food colouring to dye the rice. I chose to dye my rice red, blue, and yellow. I used everything from plastic drywall screws to beads to paper clips to small toys as the oblects to find. Before putting the objects in, I put them all on a table and took a picture. I made sure to sew the zipper shut since all that rice would make quite a mess if the pencil case was opened. I printed a picture of the contents, laminated it, and attached it to the pencil case.
I chose to make the "viewing window" of my I spy bag smaller. Originally both sides of the pencil case were see-through. I just used some colourful duct tape to make the viewing window smaller. The size of the viewing window will determine the difficulty in finding the objects.
Anyway, that's it! There are jars like this that you can buy, and they are a lot neater, but they're also a lot pricier. Whether you make or buy, though, I spy bags and jars are super neat and can provide the distraction needed to calm down after an overstimulating experience.