The LED strand comes with a connector at each end. In most strands, the male connector is at the IN end and the female connector is at the OUT end. Check to be sure your strand goes along with this convention. Data needs to come from the IN end.
Since I'm using just one strand for this project, I've cut the connector at the OUT end off and soldered it to my Circuit Playground. This way I can permanently attach the lights to my tutu, but still be able to easily disconnect the Circuit Playground, in case I want to update the code or use the Circuit Playground in another project when I'm not wearing the tutu.
Find the end of the LED strand that has the female connector. This should be the OUT end of the strip. Double check this is right by looking for an arrow on the back of the LEDs pointing in the direction of data flow.
Use a pair of wire cutters to cut this connector off with a few inches of wire still attached.
Separate the three wires on the connector and strip about 1/4" from each one using a pair of wire strippers.
Wrap the bare ends of the wires through the holes on the Circuit Playground as shown, and use a soldering iron to solder them in place. The red wire will go to VOUT, the middle wire goes to A1, and the remaining wire goes to G.
Plug your LiPoly battery or your AAA battery holder into your Circuit Playground and see if the onboard light comes on. If it doesn't, be sure your AAA battery holder on/off switch is also turned on and that your batteries are charged. Also be sure you're using alkaline batteries and not rechargeables. The Circuit Playground Express will run best on non-rechargeable batteries since their voltage is a bit higher.