instrument dials are 501 bulbs with green silicon sleeves on, and the gauge faces themselves have a green backing on some as well. You can put a blue bulb behind them and it'll light up a slightly murky blue, as the blue will pass thru the green.
The heater panel is similar.
You're meant to be able to wipe the green off the back of the dials with non-acetone nail varnish remover to allow you to use any colour bulbs, but I tried it and it didn't work on my 95 NA.
Fog light - if you've a switch that has integral illumination when on then I think you can paint the bulb with acrylic model paint.
If you have the fog light that glows all the time on sidelight, you can't change the colour of this as far as I know.
You can change your hazard light by removing the bulb, painting it with colored acrylic model paint and refitting.
Best bet is new gauge faces and a new HVAC panel (Lockwood do some reasonable ones and do the only affordable HVAC controls on the market - they also do colour combos that aren't advertised on their website if you ask them).
I've just changed all my interior lights to amber as part of my Secret Gauge Face Project (more when the embargo is lifted end of month!) and have been trying various colour lume.
I can give you some detailed tips on doing both clocks and HVAC controls - have had the clocks out about 15 times in the last couple of weeks whilst perfecting new dials and lighting...