The technique is called Object-Source Lighting -
OSL for short.
It's covered in detail in many many places, but to be brief; no it's generally not drybrushed. Airbrush is sometimes used, but best effect is normally by hand.
The first trick is to remember that light emitted goes in a straight line, and doesn't go through stuff. It's the 'shadowing' of the light on the object that makes the effect work; don't just paint everything near the lightsource brighter and expect it to look right.
The second is to remember that light can only make things lighter; if your 'light' colour is too strong, you can end up actually darkening the painted effect, which looks dirty and wrong. Be VERY subtle and build up the effect gently. It takes time.
This is a good example. With
OSL, it's tempting to use a darker colour as you go further from the light, THIS IS WRONG, unless your 'lit' surface is black to start with. On the blue and red this would have the effect of darkening the surface, so I didn't do it. Instead I've highlighted the blue and red by adding the pinking light highlight into the mix and doing glazes to build it up, avoiding areas that are 'in shadow',