By gauge lights, do you mean the cluster lighting?
That's a bit of a project... I'm sure Jp7 will chime in with his cool mods...
Basically you'll need to remove the radio bezel, remove the dash, remove the gauge cluster, remove the needles, remove the overlays (with the writing printed on 'em) wet sand the color filters from the back side, install led bulbs/strips (in the color you prefer) inside the cluster, re-assemble the cluster, re-attach the overlays, install & calibrate the needles.
It MIGHT be possible to go from green to blue by simply using blue leds behind the green filters, but I'm not sure how "blue" it would look. I switched my blue gauge cluster to green by simply changing the bulbs to green leds that I modded & it looks pretty good... however I'm going to switch to blue since my new head unit has blue lighting.
If you just want to swap out the color of your 4x4, headlight and/or fog switches... check out my thread HERE