The tried and tested ways of capturing orbs are with a digital stills camera, or a Sony Nightshot camcorder. Infra red CCTV cams linked to wireless monitors have proved to be a fantastic addition to our group equipment on paranormal phenomena investigations, together with infra red web cams hooked up to laptop computers. 

There are many theories about how and why we can record orbs and light anomalies..

I believe that the reason we can capture orbs on digital camera more easily than an ordinary 35mm camera is possibly something to do with the increased light sensitivity that digital cameras have, though some orbs and light anomalies have been captured in the past using traditional 35mm cameras and film. I have captured some on 35mm film myself.

The way I see it is this (a medium's point of view):

If a spirit person wants to contact us they will take advantage of any method of communication available, and will embrace our technology as a means of doing so. The Spirit form is energy - energy usually has a byproduct, e.g. a spark, a light or heat or cold.. this reaction is what we record.

I have found by trial and error that infra red technology is by far the best equipment to use as a way of recording light anomalies, as the light or reaction from the spirit energy source is usually so tiny.  

Most of this equipment can be purchased on the internet far more cheaply than in specialist shops. Infra red web cams, camcorders with night shot facility (0 lux)  and security cams and monitors with IR are available quite cheaply now.

Orb activity is always far more visible in total darkness- perhaps as the orb light is so faint and delicate it isn't visible to the naked eye when there is another light source in the vicinity and background visible. Darkness provides a blank background which makes it easier to pick an orb out. 

Equipment I have used successfully:

Canon A400 digital camera

Kodak 4530 digital camera

IR cctv cam linked to a small monitor

Sony Nightshot camcorder TRV255E

Sony Nightshot camcorder CCD27E

(Any Sony camcorder with Nightshot 0 Lux will work just fine)