Find ceiling joists near the wall with a stud finder, then mark the joists with blue chalk.
Measure 22 1/2 inches from the wall and mark with blue chalk. Cut 22 1/2-inch lengths of 2-inch-by-4-inch lumber and nail them to the ceiling perpendicular to the wall, spacing them about every 2 feet. The length of your soffit will determine the number needed.
Nail a piece of 2-inch-by-2-inch lumber to the ends of the blocks you just installed, parallel to the wall.
Find studs on the wall with a stud finder and nail a 2-by-4 board the length of the soffit to the studs 8 inches below the ceiling.
Saw a plywood board 24 1/2 inches wide to be the bottom of the soffit and another piece 8 inches and the length of the soffit to be the facing.
Attach the facing to the 2-by-4 running parallel to the wall, screwing it to the board every six inches. Cut notches in the facing about 2 inches wide at spots you have selected for each light. These will accommodate wiring.
Have electric boxes and wiring attached at each light location. It is best to have a licensed electrician perform all electrical work to prevent fire dangers.
Screw the plywood bottom of the soffit into the facing and board attached to the wall. Use a jigsaw to cut out 7-inch squares at each light location, centered in the soffit bottom.
Measure a piece of 1/2-inch drywall to the same size as the soffit bottom. Mark the location of the lighting holes, then screw into the soffit bottom.
Hold a lighting fixture to the drywall and trace its outline, then cut a hole slightly larger for the fixture to slide through the drywall and plywood with a drywall saw. Connect wiring to the fixture according to manufacturer's directions, then screw into the drywall and plywood with 1-inch screws.
Fill screw holes and joints with taping compound, then sand and paint as desired.