Bicycle lights are expensive and leaving them on your bike when you're out and about is an effective way to have them stolen. If you want to make them easy to just snap on and off, Instructables has a guide showing how to use a bit of Sugru and a magnet to make your lights easily detachable.
The idea here is that you take alittle Sugru and attach a magnet to your bike and your light. Once it's dried, you can easily snap your lights on and off your bike so you don't have to worry about theft. The Sugru shouldn't damage your bike and it's easy to remove. Just make sure you use a strong enough magnet so your lights don't fly off every time you hit a bump.
How to make bike lights magnetic with sugru + magnets [Instructables]