Pressing F3 (you can change the key) you can spawn a light attached to your right arm, press the key again to delete the light...
When you are carrying the light you will not be able to shoot (it´s a problem that I can´t fix because I tried to make the light don´t collide with Niko but if the light don´t collide will not stay attached to Niko´s Right Arm)...
In future versions of Script Hook maybe I´ll be able to fix it, but now, the only bones avaible to attach objects are the Head and Right Hand...
You need GTAIV .NET Script Hook V0.86 BETA...
Download the latest version here: http://www.gtaforums.com/index.php?showtopic=392325 ...
Have you considered using native calls to the engine to fix the placement of the light, that's what i had to do for some of the functions of my script.