that's always been fun, but not satisfying for lighting effects. get some Christmas tree led lites, pull them apart until you have the small leds in the colors you select in front of you. now you will notice that some of the pin ends wiggle off easily just above the end. go ahead and wiggle those off. now you have your leds with slightly shorter ends. get some computer ribbon wire. peel off wires from one side 2 at a time and then use a lighter to burn off the rubber coating and pull it off. just about 1/4 inch. ok, now twist both wires to both pins on the led. you can paint over this, solder it, tape with duct tape or black tape. now when you got all your leds done this way, place them in the model where you want them to go. make a black paper box if you need it to block any lighting bleed over in the led area. run the wires thru the model and out of it thru a tube down thru a stand.
ok, now for the battery, you can find aa batteries or aaa batteris already with a box with an on/off switch on it. a 470 resistor on the black wire from the batteries, and then twist them up one by on as they lite up you got it right and twist them in. when done, tape, paint glue the join and put the batteries in the base or build one around it and you got it made.
i will help you learn to lite up your models, if you send me a pic or two of what model you want lighted i can write up a step by step instruction packet to simply light it up so you fry yer lites. pm me here at the site.
also Zathros might be able to give you some real schematics on this stuff. he's great at this.