With traditional media, but you should do it this way: if you're working with markers (like in this drawing) or with watercolor, you have to leave white space were the lightsaber is, then start shading softly with the lightsaber's color, in this case light blue. You also need to paint the things around it with lighter shades of their local colors, because saber's light reflects on them, things such as the clothes, or the face! Also, give them a slight lighting corresponding to the saber's color, like I did here on Anakin's face.
If you're doing it with Photoshop, just make a new layer above everything, and paint the lightsaber's shape with pure white using a standard hard round brush: then just click on layer properties, select "Outer Glow", choose the color of the lightsaber and play with the options until it has a nice look
that works just perfect!!
That's the way I do it, hope it helps!