Several members of TBN have posted projects of adding lights to their ROPS. Very few recommend drilling into the ROPS or welding to the ROPS for fear of voiding a warrenty or future liability. Most people choose to clamp lights to the ROPS. I chose to use marine epoxy and made a simple bracket that I then epoxied to the ROPS and then I drilled into the bracket.
Beyond how you choose to mount the lights, as discussed above. You have a couple issues to deal with. #1 is the amount of current draw you will run is based on the wattage of lights you use, and that may exceed the capacity of your alternator. #2 you may need to upgrade the alternator or use the lights very sparingly. #3 if you regularly fold the ROPS, you need to make sure you have enough slack in your wiring to allow for the fold. #4 you need to decide how much work you want to put into this to make it look professional or simply to get it done and that will determine things like using waterproof switches, waterproof connectors, relays or direct switching, switch mounting locations, etc.
If you want to see what I did, take a look at the PHOTOS and pull up my photo gallery, it shows my lights and switches. I'm not saying I did it right, just that I did it my way. Lots of folks here will help you with specific questions.