Select the polys you inset earlier and extrude them inwards as shown.
Now you have to adjust the geometry so that it fits properly in the hole. You will have to do some rotating to get it to fit right. Select all the dges shown and rotate and adjust until it fits properly.
Now just do some chamfering to get the edges sharp. Play with it till you have something you like.
The glass for the light is done by making a sphere and cutting it in half as shown. Put a "Shell" modifier on it like before and chamfer it like you did the headlight glass. Position it where it should be.
Now just make some boxes and position them in the vent as shown. Also make a sphere and place it in the position shown in the picture. This is the finished vent/turn signal light. You can copy the light bulb we made for the headlight and scale it down and place it in the turn signal light.