Hobby knife, lighter (can be big as mine :) and plastic rods. Where to find them? I have some old historical model kits with clear parts, and this rods are from part frames. It can be other thing like GW flying bases or something simillar. Also you can use clear plastic forks, there is a lot of clear things, just look around ;)
Heat your rod with fire and pull to size like below or longer. If you want thicker icicles – pull less, thin – pull more.
Cut off excess of rod. Almost you get icicles. Now it’s time to use hobby knife.
Model the shape of icicle, don’t worry about white plastic on the end of icicle. Just paint it with glossy varnish and they dissapear.
That’s all! Now you have icicles! Put them on model with transparent glue. It can be cyanoacrylic glue like superglue.
Here is an example how does it look like on model:
Hope you like it!