I started with a basic pinchy-prong-ended hair clip. Here's a view of the front and back after I pulled off the long piece which was used to secure the hair.
Next, use pliers to pry the prongs and clasp base (basically all the metal things that stick up) off of the hair clip. This took a bit of twisting and forcing, but the metal if fairly thin so it should be possible to remove everything entirely. Then sand the areas where you've removed metal pieces so that they'll be smooth and not cut your fingers when wearing the ring.
Finally, use jewelry glue (I used Aleen's Jewelry & Metal Glue) to adhere two adjustable rings wherever you need them placed, depending on the size of your clip and the width of your hand. I added one ring for my index finger and one for my ring finger, which allows the ring to fit across my entire hand but still allows me to easily move my fingers.
That's it! All that's left is to enjoy your sparkly intimidator...pink rhinestones are intimidating, right?