I guess my first question would be how do you want the lights to turn on? Will you be turning it on with a separate switch of some kind? Also, what kind of lights? I'm guessing an led or multiple led's. Are they connected together or is there a separate + and - wire for each led?
The basic build components I use are as follows:
Switch (if it has a light, it will have three wires - ground, power, and load);
SPST Relay (it will have a ground, an output wire to your accessory/light, a fused power wire coming from the positive batter post, and an input for the load wire coming off of the switch);
Accessory/Light (it will typically have a positive and negative. Usually, the negative is grounded to the frame somewhere and the positive accepts the output wire from the Relay).
Generally speaking, I think most people fuse any wire with power running through it (I do unless I am tapping an existing power wire in the cab that is already fused.) However, when I tap an existing power wire, I'm only doing it to supply power to the tiny led in a switch...NOT to run an actual accessory or to serve as the power source for a relay.