Ockhams Light Panel is the easiest way, becasue you can do all of the lights at once.

1.) Run the script.(File > Run Python Script)

2.  Check the New Parent box.

3.)  Next to the check box fill in the exact name of what you want to parent the lights to ie. "Main Camera."  (You can copy the exact name of anything by selecting it and checking the Properties palette, where there is an open text field(That you could also use to change that element's name)

4.) Click apply to all.

Manually you'd:

1.) Select what you want to Parent.

2a.)  If it's an Object then just go to the Object Menu and click Change Parent, then just scroll to what you want to Parent to, click it, and lick OK(Or Close)

2b.)  If it's a Figure that you want to Parent it's the same routine, but from the Figure menu.

You can Parent anything to anything, like if you want a camera to follow a figure while it's running, etc.  Loads of fun, try it!