When you build your first own sentinel, don't use the pilot. He's in the way and (bonus!) you can use the parts for future projects!
On the lights: I just paint mine in Enchanted Blue, and then give them a nice beating with blue ink. Although, I haven't found Blur Ink from GW in some time, so it's probably out of production. Perhaps azurmen blue will do the trick, but I don't know if it's shiny enough.
I got a pic of a manticore with the searchlight painted like I described in my gallery if you want to see what it looks like!