We all seem to need lenses for various large scale railroad projects. We use them in our marker lights on cabooses and observation cars. We use them in classification lights and headlights on our locomotives, and some of us use them in switch stands and train order boards or even signals. We can order them from places like Trackside Details or Ozark Miniatures, but they are fairly expensive for the number you get, and the wait for the package to arrive can be fairly long.
At Michael's I have found an excellent source of lenses that come at a reasonable price. What I use are the gems that they sell for decorating clothing. These come in many sizes and colors to and will fit many of your modeling requirements. Out of one package, I always keep the red, green, clear, amber and blue ones. I get rid of the rest. Check the package and buy the one that seems to contain the largest number of these five colors. They all have a silver backing to make them sparkle, but this can be easily removed by wet sanding to make a lens that light can pass through. I glue them in place using 3M Super Strength Adhesive, which is also available at Michael's.
I have used these on many of my locomotives and cabooses with very satisfactory results.