Choose all the lights you want to hide and do this:
Well this is what I did.....
Select all the lights by either highlighting all of them or the 'Shift-Click' method (method of using the shift key to select multiple items). After this goto Edit-->Delete by Type-->History. Next step goto Edit-->Group (While the lights are still selected). After that create a new layer, then name the layer. After that just choose add selected objects to your layer. Now when you switch the layer off the lights disappear but the light effect stays!!
Hope that's what you wanted