Jeff has painted class lights on a few of my locomotives, and I have also had success with the Microscale decals for them.
The MV lenses are very inconsistent in terms of availability.
For the headlights, fibre optic lenses are probably the best way to go. The ones Dave McKinnon has installed in my fleet are made from .030" fibre optic and I drill the holes for him with a #66 drill.
Tim