Research. Time to let Lord Google help you in locating images of what you want to replicate. Say for instance you want to make landing lights for a fighter. Start by doing an image search for that subject. Find reference photos. Also look for walk around photos, a visual documentary of the subject which was taken in all likelihood a fellow modeler.
Once you have your references, its time to source the parts or components to make the parts. By comparing the images and the model itself you can estimate the size of the lamp. A trip to your local craft store or model railroading shop can provide the lenses and in most cases everything you need. At the craft store you will find items of use in the beading supply aisle as well as the doll and doll house aisle.
Don't be afraid to tackle making you own either, from supplies you already probably have. I made these from fuel tank and bomb casings along with some light brite pegs, but clear sprue can be used as well.
Nifty spot light for an aircraft...
A landing light can be made from a piece of square stock cut. Cut a thin slice appropriate for the thickness of the housing then drill a hole in the center. Insert a piece of clear sprue into the hole. File, sand and polish into the final shape.