I just wanted to know what the best way is to install accessories like neons or strobe lights. I've heard that every time you hook something up to your battery you lose some HP. Is there a way to limit the loss of HP?

I never heard that rumor before :shrug

Adding a lot of accessories will increase the load on the alternator which will place slightly more drag on the engine. Will you notice it? No. If you want to be safe about it get a higher amperage alternator, but there's no way of "hooking up" things differently to change this fact.