The lighting was the hardest part, and it took me a few hours before I started getting the sort of thing I was looking for. The rainbow reflections are created by diffuse light, and Steve fired his flash through a soft box. I ran into difficulty with this because my Nikon SB600 can't be triggered off-camera without being slaved to the on-camera flash. The full frontal flash from the on-camera totally kills the rainbow reflections, so I had to use the SB600 on camera and angled to bounce off a diffuser. The problem this caused was that my bubbles were only lit from one side. The next time I do this I might try to rig up some reflectors. In addition to this I had to figure out the right combination of flash power/underexposure/aperture to get vibrant colours. It was frustrating because I could see it through the lens, I just couldn't capture it!
In the end I found a combination that worked with the setup. I blew hundreds of bubbles and had a whale of a time. I finally figured out the the most exciting bubble colour combinations come just when the bubble is getting ready to burst; the oil slides off the bubble surface into the liquid and then it pops. If you blow on the bubble with a straw it mixes the remaining oil with the black water and you get some gorgeous mixtures. The final image here was taken when there was virtually no oil left, just milliseconds before it popped.