Step 1: Procurement
check the sizes, and try to get quite round fruit. e.g. rummage around for a -round- lemon.
Step 2: Gutting
the citrus fruits are the hardest, because you need to leave enough skin on the inside to maintain structural integrity.
check they all fit - perfect!
Step 3: Facial features
we used a tim burton-esque style for the eyes, but you can do whatever you want.
Step 4: Spark 'em up
to get the candle in the lime to stay lit, you need to make another airhole somewhere, and use a half a tea-light (shave the tea light's sides to reduce it's cross sectional area through the vertical axis).
here's a slideshow