Yeah, the lights are most likely 12V.
You just plug them in. You have a ground comming off the power supply and a 12V (usually yellow, sometimes orange). That powersupply might need a load like Ken said.
If you are taking out the power supply, it should be fine, but if you want to run 12V lights and things like that, just leave it in. You might want the extra supply instead of hacking into the computer power supply.
Bob Roberts has a diagram on his site and instructions on Jamma wiring with pictures.
Www.therealbobroberts.com
It's probably the best description around on how a game is wired.