Δαφνη Ευτυχια Αρθουρος

I've never made a pinata, but I read instructions as a kid: one starts with a balloon, and covers it with paper mache. When that dries, one cuts a hole in it to put the candy in, then seals it back up with more paper mache. Then one builds on it with further paper mache whatever other structures one wants (classically, use paper to form cone-shaped points).

Obviously, a condom is a balloon substitute.

ETA: http://familycrafts.about.com/cs/papermache/l/blpmachp1.htm