It's best to remove the lamps from the vehicle to avoid overspray on the rest of the vehicle and so you can coat the entire lamp evenly and cover all the edges. You also want to mask off the backside of the lamp that you don't want paint on.
You can buy the black lamp spray paint on line. I personally feel it's too dark and you also run the risk of the police harassing you. (that varies by where you live) The more coats you put on the darker it gets. The spray paint also has a flat look to it.
http://www.vhtpaint.com/niteshades.html
I really like the look with a black tinted clear coat sprayed on the lamps. You basically mix a very little amount of black base into a clear coat and spray the lamps. You can choose how dark to go by the amount of black you mix in and by the number of coats you spray. The lamps have a nice gloss to them and look like a factory smoked lens if you do it this way. You can also do your headlights this way and you can control how dark they get so you don't lose too much light output from them. You'll probably want to upgrade you headlamp bulbs to a brighter bulb.
You'll want to scuff the lenses with an automotive grade scotch brite pad and clean the lenses with an alcohol pad before you spray them.