A crystalline undulator (CU) with periodically deformed crystallographic planes is capable of deflecting charged particles with the same strength as an equivalent magnetic field of 1000 T and could provide quite a short period L in the sub-millimeter range. We present an idea for creation of a CU and report its first realization. One face of a silicon crystal was given periodic micro-scratches (grooves), with a period of 1 mm, by means of a diamond blade. The X-ray tests of the crystal deformation have shown that a sinusoidal-like shape of crystalline planes goes through the bulk of the crystal. This opens up the possibility for experiments with high-energy particles channeled in CU, a novel compact source of radiation. The first experiment on photon emission in CU has been started at LNF with 800 MeV positrons aiming to produce 50 keV undulator photons.