The bulbs behind the dash are clear (just bought some to replace a couple of mine that burned out) and I believe shine through a plastic piece that's tinted green. Same for the HVAC controls. I just saw a thread yesterday by NOLArat that walks you through changing the HVAC controls. Looks like the part of the knobs that the light shines through are green themselves, but you can find some from a 95 - 97 (thanks, Fx4wannabe01
, in the same thread!) that are already blue. STL also posted a great how-to on replacing the bulbs in the instrument cluster. I bet you could follow that and get to the piece you need to change the color there as well.
02 Ranger XLT 4x4 Off Road, 4.0L SOHC, Automatic, 8.8 4.10 LS, Super-Cab, 3" Body Lift, 33x12.5x15 BFG All Terrains on 15x8 M/T Classic IIs, 5K 55w Heads, 5K 35w fogs, custom front skid plate, various other goodies.