I've searched through the forums and Google, and I have not been able to find something that shows how to make all the lights blue. Can someone please explain how to do it, or point me to something that will? 

The model has to support it, it's not something that every model can have. 

If the model supports it, there's usually a version included with all blue lights. 

You can also replace the red textures with blue textures on the emergency lights textures in the .ytd file of the car! But that would require basic knowledge of paint.NET or Photoshop, as well as a modified visualsettings.dat file that removes coronas from the game! :)