We describe our experimental technique for preparation and study of ultracold gas of Rydberg atoms. A magneto-optical trap for 7 Li atoms is assembled. Using an ultraviolet laser, we perform a cw two-step excitation of atoms in the ground state to highly-excited states. For identification of highly-excited Rydberg states (n = 41 and 110), we record the resonance fluorescence of ultra-cold atoms in the trap.