As for installing them on your locomotives, I like and use the Details West ditch lights, as they are metal, and have no light leaks from the ditch light housing itself.
I use surface mount LEDs from either TCS or Richmond Controls, and usually the sunny whites is what we buy. I carefully drill out the bottom of the ditch light housing so that the LED can fit inside. I paint the back of the LED so that the soldered contacts don't come into contact with the metal ditch light housing and cause a short. You can also use a dab of CA (cyanoacrylate or super glue) if I don't have paint handy.
The important thing about installing these is that you test them each time to make sure you haven't broken a connection or wired something wrong.
If the ditch lights are deck or porch mounted, then I will drill then paint, then glue (CA) the housings to the porch first. Once dry, you can drill small holes in the pilot just below the deck or anticlimber so that you can route the wires into the shell. I then run the LED into the housing, and then turn them on so that I can aim them within the housing. Once aimed, I CA the hole they went in to hold them in place (don't do a lot in case you accidentally break them later) and let it dry (overnight).
The next day I route the wires into the shell, attach the resistor to the LED + lead, then wire to the board and test. If everything works, I heat shrink tube everything, and then reassemble the locomotive (decoder work, including programming, has already been done). I'll then touch up the exposed wiring with paint, fill in the holes where the wires go into the housing with a little more glue, and attach the lenses to the ditch light housings. When that glue is dry, I add paint to the bottom or back of the ditch light housing (where the wires come out) to eliminate light leaks.
I'm sure others here use similar techniques with some tricks they probably learned along the way. The key thing I learned was not to fully glue anything or assume that when completed, the lights would work. The wire is small and can be fragile, you can accidentally hook up stuff backwards, or even have issues with the wire getting caught on the flywheel and drive train of the locomotive, especially if you put in too much slack.
