This activity is called Stained Glass Cross Craft and comes to us from a Web site called Frills, Fluff, and Trucks. The craft is very simple and requires only tissue paper (cut into squares), clear contact paper, and black paper (cut into two matching size cross outlines).
Begin by taping down a section of contact paper onto a table top, sticky side up, and place one of the cross outlines on it.
Next, invite the children to place different color squares of the tissue paper onto the cross in whatever pattern they wish. When all of the space within the cross has been filled with tissue paper squares, place the 2nd cross outline on top of the first (this hides the spots where the tissue paper overlaps the first cross outline) and then put a second sheet of contact paper – sticky side down – on the artwork to hold it all in place.
Finally, cut out the cross and discard the extraneous contact paper.
You can follow a tutorial here.
Be sure to display the cross in a window so that the light can brighten up the colors.