Crisco did the off road lights and did a detailed write up on his website:
http://www.rausite.com/hummerh3.htm
While you are interested in the marker lights, his write up would give you a real good idea of what you would be getting yourself into ie drilling into the roof, running the wiring, etc.
We are getting off road lights and letting the dealer install them.
Here is a place that sells the roof marker set.
http://hummer.autowebaccessories.com/store/h3-roof-mark...d1309_1316_13005.php
Hummer H3 Roof Marker Lamps $465.50