A less messy stained glass option is to use clear shelf paper (mac tac), electrical tape and tissue paper. The design is drawn (mirror image) on the paper side of the mac tac in permanent marker, then strips of electrical tape are put on the clear plastic side to mimic the leading of stained glass windows. For the activity, children put small squares of tissue paper on the sticky surface once the paper backing has been peeled away.
This works well for both older and younger children and makes a good group activity for putting up in a church window afterwards. We had many positive comments from congregation members after our "stained glass" window appeared in our worship space and surprise that it was made so simply. (Electrical tape, even when cut into narrower widths, does not give the detail that the project above has, though.)