I'm new here, but I'll explain my process from top to bottom in case others want to add lights to their Z71 Rack...sorry if its long...all pics attached.
I restored my 03 Yukon XL and added the Z71 Roof Rack because of the look and I wanted to install lights for when were at the lake at night. I didn't want to cut the hole out and try to fit something that I would need to caulk or seal and not really fit right, and I wanted lights that would mount flush (to keep water out) and to be able to remove the cover if I ever needed to work on them.
The flat area on the cover is very small so I was limited to what lights I could actually install and it's difficult to find 3" round flush mount LED lights, most are square and too big.
After trying a couple that didn't fit or wouldn't look good I found Baha Designs makes great quality lights and I ordered a set of "
Baja Designs S1 Flush Mount Wide Cornering LED Light". These lights are VERY BRIGHT and use a simple 2.5" hole saw to install and come with all the stainless hardware and waterproof wire connections. You will need to remove some plastic inside the Z71 housing, but you can use a simple pair of side cutters and it cuts right through...2 minutes.
Wiring: I wanted to control the lights from my dashboard so I found this item on ebay that's perfect "Silverado Switch Panel 2 Toggle BLUE SWITCHES NBS 1999-2007 LED GMC Chevrolet", I bought the 2 switch plate to have an extra switch.
I purchased from Amazon the "Nilight LED Light Bar Wiring Harness Kit 14AWG Heavy Duty 12V 5Pin Rocker Switch Laser On off Waterproof Switch Power Relay Blade Fuse-2 Leads", but wasn't long enough so I used it for all the wiring up front.
I ran my own 16ga 4Cond from the back to front through the cavity under the back seat cup holders then under the drivers side plastic scuff plates...very easy. (Keep in mind I wanted as little splicing as possible so I ran the wire through the hole I drilled in the roof first before running it to the front)
Hole Drilling: First prepare by popping down the plastic inside top trim plate and both rear left and right Pillar Post trim pieces so you can see the wire you run.
Next: inside the roof rack housing you will see a large hole in the base, this is where you drill a hole large enough for the wire at a small angle towards the back.
Then push the wire through and you will see (you might need to pull the headliner down a little to see) it travel down the path where your Pillar Post Trim was (just like the factory intended). You will do the same for the passenger side roof, but run the wire up top across to the drivers side and down to connect it to your wiring with connectors/heat shrinks.
Once done with wiring I used Flex Seal Clear Rubber Sealant to form a mound about 1/2" high around the base/hole of the wire in case water gets under the plastic housing.
I know this seems long, but the whole process should only take a couple hours. Let me know if you need more info.