Line up the open ends of the bottles with the water bottle edge overlapping the parmesan bottle edge about 1/4 inch.

Using the soldering iron, join the two bottle sections by melting several holes thru the overlapping plastic.

Keep in mind, the smaller the holes, the safer the filter will be for small fish.
make several small holes in the top of the screw-on cap.

Take care not to damage the threads inside the cap.
More smaller holes is better then fewer larger holes.
Once the work with the soldering iron is done and allowed to cool, fill the bottle with whatever filter media you prefer.

Generally, floss is a given, but other media such as carbon or phosphate absorbing media is also an option.

If you do add loose media such as activated carbon, either place the carbon in a mesh bag designed for filters or in-between layers of floss to reduce any leaking out the small holes.
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do-it-yourself aquarium and semi-aquatic background designs beyond the traditional
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DIY Water Bottle Power Filter with Screw on Cap
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This project idea is an improvement on the original DIY water bottle power filter design. The goal was to make the filter safer for long-term use around smaller fish.