I have been thinking about this too and found the following at Home Depot near vinyl siding. Its a 8' long plastic strip. I have two thoughts for how to use this.
One, this material fits perfectly over my gutters. If I can attach the lights to the outside of the strips, they will hang nicely on my gutters. This will make setup and take down much easier.
The other thought was to drill holes to insert the lights, but this would be very time consuming.