It’s very simple. I’m going to assume you don’t want to attach it during gameplay, but as part of the blueprint itself. I’m also going to assume you know your way around blueprints.
In your components section, create a light component and simply drag it onto your mesh component (in the components list) to attach it.
In the light’s detail window, find the “Sockets” section and select the little magnifying glass to pick a parent socket to attach it to.
That’s it!