I'm not a Messianic Jew (more of a Messianic Christian). You asked me about this in another thread a while back. I saw your post while I was at work, and was going to answer when I got home, but I never got around to it.
I made my own Chanukia and lit the candles each night a couple of years in a row, but I don't really do anything any more, other than thank God for his miracles, which is what the festival is about. I live alone, and without somebody to share it with, traditions like lighting candles somehow don't seem the same. I recently got to know some other Torah keeping Christians. Maybe I will do something with them some time, but I met them so recently, that I doubt I'll mention it now. We have Bible studies every Friday night, where we study the Torah, and next Friday there may be something.
The TOG