You would need a mesh and textures of the gyro-light and use PEV's Attachment Maker to place the attachment point on the already-built mesh, and his Mesh Viewer to assist in the process.
I can't assist you with this since I've never done it myself.
There is no specific tutorial for Blender to create a gyro-light. You need to master using Blender in general first then move on from there as this is a 3d object or component that is added using the PEV's attachment maker. As I said the Mesh View utility let's you have a look at the mesh to ensure things are in the right place.