Umm, I don't know if I understand correctly. So basically you want to set several different colors to a scene entity. Create your lights as entities in the scene (using SceneEdit) then create a new script file with following content and attach that script to your entities.
#include "scripts\base.inc"
var AlphaColors = new Array( RGB(255, 0, 0), RGB(0, 255, 0), RGB(0, 0, 255) );
var i = 0;
while(true)
{
this.AlphaColor = AlphaColors[i];
Sleep(500);
i = i + 1;
if(i>=AlphaColors.Length) i = 0;
}
Of course, you will want to change the actual RGB values (you can add more of them to the list) and the Sleep command specifies the frequency of flickering.