I got the lenses from Newark. They sell electronic components, and the colored lenses are illuminated switch caps which you can purchase separate from the switches. I hear people use them for their vader costumes as well.
There are two types, one with tabs on the back, and one with a hollow cylinder. The hollow cylinder type is what I used. You can just set the LED in the tube, and the tube itself can be pressed into a hole to keep it in place.
If you just want colored plastic though, you can get small sheets cut to size from Tap Plastics. That was my second choice if the switch cap didn't work out, and it's what I used for the newer PKEs. The old PKEs and the one with the multicolor screen are clear plastic with a projector transparency printed at Staples underneath.