+1 on that. I did that several years ago. It looked really good with 16 branches wrapped (4 different color light). Putting on was not only annoying, but broken off several of the smaller branches trying to wrap the lights. Taking down broke more and was even colder to do. Could have waited for warmer weather, but in Buffalo, NY you never know when that is going to be, and waiting just makes the lights fade and corrode faster.
Now I use homemade "trees" instread, and the lights don't need to come off of them.