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Same way they're made today, I think. I know a way they used to make them was to add colour to the glass through various heat reactions, then they would cut it into shapes and pieces, and line it with bars of lead that have grooves that the glass would fit into. Those pieces would connect to other pieces, like a puzzle. And then they would make a picture.
Same way they make them today. Lead being very soft was always easy to manipulate and required little technology. So not much has changed since that is what is used to hold the glass together. Color however does not come from a heat reaction, it comes from metal oxides melted in with the silica while the glass is being formed. Along with the metal oxides different base elements have an effect as to the color that the glass will be.
