A vast array of small, tiny, and tini-er lights and wiring and switching components can be found at any decently-stocked model railroad shop.
For colors, such as amber or red or blue, I've simply used the common Tamiya clear paints to coat the bulbs. Grain of Wheat (GOW) and Grain of Rice (GOR) bulbs can be had in either 3-volt or 12-volt varieties. At low voltage, the coating won't burn off. That means, the 3-volt bulbs are no sweat and if you run the 12-volt bulbs on 9-volts you shouldn't have a problem if you don't leave them on for extended periods. It gets dicey when you run the 12-volt bulbs on 12-volts ...
Of course, LEDs are readily available at the model railroad stores, online, or from Radio Shack. With LEDs, they run so cool you won't have a problem with coatings.