Build your retaining wall as specified in the plans up to the last row of regular retaining wall bricks. Leave off the cap pieces.
Calculate the spacing for the retaining wall lights. Consider how wide of a beam of light each fixture casts and how bright you want the area to be. Mark the location of each light on the top edge of the retaining wall, ensuring the lights are evenly spaced down the length of the structure.
Position the light fixture so that it hangs down along the front of the retaining wall. The flat portion of the fixture that holds it in place should rest on top of the row of retaining wall bricks. Anchor the fixture to the retaining wall with screws or adhesive as described in the instructions. Each fixture is slightly different, so you'll want to refer to the instructions.
Run the wiring for the light fixture straight back toward the rear of the retaining wall. Chisel or drill a groove in the retaining wall brick if necessary to accommodate the wire.
Attach the wiring for the fixture to the main source of power for the landscaping lights. Hire an electrician to handle the wiring portion if you are not familiar with the wiring process, as you risk personal injury or potential fire hazards down the road with fault wiring.
Place the capstones on top of the retaining wall when the light fixtures are in place. The cap pieces cover the wiring and the flat portion of the fixture that holds it in place.