I wanted to make my own dancing cane. All you need is a drill, some magicians thread, and a far lighter cane than mine.
Making a dancing cane is pretty simple. As the video above says, just drill a tiny hole about 1/2" above the balance point of your cane and tie on a piece of high strength, nearly invisible magician's thread. Make a loop on the other end of the thread for your thumb, and let the fun begin.
I tried this on a regular walking cane. It is far too heavy to manipulate without lots of practice, and will bruise or break things when mistakes are made. I suggest making your own from doweling, as suggested in the video.
Making the loop slightly over-sized makes changing hands easier.
The wax that comes with this magician's thread is useful for making other, very light objects dance. Like a dollar bill!