Mexico isn't Kona. The issue involves batteries. Mexico doesn't want "loose" batteries in carry-on. As long as a battery is IN some device, they're fine with it. Note that a battery case or original unopened packaging could still be considered "loose".
The lights themselves should go wherever you're comfortable when you're leaving Mexico. For me, that would only be carry-on, but I avoid checking through anything I would mind never seeing again (anywhere, not just Mexico). They will happily let you board the plane with them in your carry-on. If you have any spare batteries for any devices, those will need to go in check-through.