I have never tried a lighted nock because I decided $10 was too much to pay for them, but they look so cool, I just could not stand it. So like everything else, I decided that we could just build them ourselves. It's surprisingly easy and will end up costing you less than $4 each. All you need is a hand drill and a pair of small needle nose pliers.

The heart of the nocks is a very unique battery. It's 3mm in diameter and about 1.5" long. It's a 50mah Lithium Pin type battery. They can be purchased from Digikey for about $3 each. Add at least a 600mcd T1 LED and some heat shrink and that's it.

You start with an Orange Nock, they glow better than the Green ones. Begin by drilling a 0.060" hole right down the center of the nock. This will allow the LED to Shine through the nock, making the light brighter as it flys. Then right in the step where the nock contacts the arrow shaft, drill two 0.030" holes 180° apart. These small holes are for the wire that contact the arrow shaft and "switch" on the led when the arrow is fired. Half way between the 0.030" holes and the open end, drill another 0.060" into the nock. This hole will be a weep hole for any excess glue. I took a wire off one end of a resistor. Bend a 1/8" 90° leg on one end and work down the center of the nock until the leg sticks out one of the 0.030" holed you drilled. This will be the conductor for the positive leg of the battery which is the case. See Figure #1 below

The next step is to make a socket for the negative pit of the battery to plug into. Take the negative lead from your T1 Led and wrap it tightly around the battery pin as shown below. Use you needle nose to get the last part wrapped without sticking a hole in a finger. Make sure it's fits fairly snug when you are done.

Once you get a little coil, bend the coil where it sticks straight down from the bottom of the led, right in the center. Take a short piece of heat shrink and place it over the coil going all the way to the led. This will insulate the leads from each other.

The nest step is to prepare the positive lead for placing into the other hole. This would be much easier for me to show you, but try to emulate the picture below. Bend the positive lead over the top of the led opposite the coil and bend a little 3/32" leg in it as shown. Position it so that you'll be able to work it into the other 0.030" hole as you insert the assembly into the nock. Buy a couple extra LED's so you can mess up a couple.

The picture below shows the order of assembly. Place the battery into your coil in the led and the heat shrink. Align the whole assembly so that it's perfectly straight and the led is inline with the battery.

As you insert the assembly into the nock, make sure the led positive is headed into the 0.030" hole. You have to hit this hole as you go by and make sure it extends out the hole and that it will contact the arrow shaft. Once the short leg extends out the hole, like the picture below, you can insert the assembly the rest of the way. As you push it in it will bend the positive leg of the led back down to the bottom of the led with the other lead. That part can be tricky. If you have too much lead sticking out, it can short against the negative lead and your nock will light up permanently.

You can either add a little goop to the assembly as you insert it or use some super glue and let it run down beside the battery. I like the goop better but its harder to do. I had one using superglue that insulated my negative coil and it won't light up. After you have the assembly completely inserted into the nock. Clean of any excess glue and clip the two wires at the top of the nock off where they will barely stick out past the arrow shaft. Clip the one at the end of the nock touching the battery off where it won't interfere with the insertion of the know into the arrow.
When you insert the nock into an arrow, the arrow will touch both wires and complete the circuit when fully inserted. When you insert it if it comes on, pull it out until it just goes off. When you shoot the arrow the string pressure will seat the nock fully into the shaft lighting you arrow for it flight to the target

I'll try to take some better pictures later and possibly do a better job of explaining the process, but I hope you get the idea.