Dyson spheres are hypothetical structures that high-level civilizations may build to harvest energy in the form of starlight. As in any thermodynamic process, the conversion of stellar energy would involve the emission of waste heat. For Dyson spheres operating at temperatures in the range 100 - 1000 K, this energy would be emitted primarily in the mid-infrared. Here we present some models to estimate upper limits on the prevalence of Dyson spheres in the Milky Way based on the number of sources with mid-infrared excess. In the present analysis, we are only using 260,000 of the most nearby stars from the Gaia DR2 and AllWISE combined dataset, but the full search will include 10^7 - 10^8 objects, making it the largest search for Dyson spheres in the Milky Way carried out so far. In this small sample, we found that less than 1 in 10,000 stars display the mid-IR excess expected for a Dyson sphere, assuming a Dyson sphere with a temperature of 300 K and a covering factor > 0.9.