I don't have any photos at the moment, but I'm in the process of making a headlight at the moment. I'm using the reflector and bulb from a mini mag light - the one with the tiny cylindrical bulb. I've cut a steel plug for the bulb hole, and will drill a new one so the bulb can be mounted vertically, with a glass chimney above it. The reflector is 3/4" in diameter, which works out to just over 15" in 1:20.3 - a little on the small side, but apropriate for a small, 1860s loco.
To build it, I simply built a styrene box large enough to emclose the reflector and its clear cover. I did trim them so that the hole would take up most of the front face, as on the prototype. I cut a 3/4" hole in the front, and am working on the decorative top and chimney. The bottom I am leaving open, so the whole thing can be slid down onto the base, which will hold the bulb.
I can e-mail pictures, if anyone is interested.