Probably one of many similar instructables, but I think this adds a bit of bad-assery to the wearer, as it is part of a night riding suit. For the inner vigilante wannabe in you...
Step 1: Materials
Glove + Tazer + Solder + Soldering Iron
Step 2: Mark Your Terminals
space your terminals maximum one inch apart so the current can still arc in between. This makes for an intimidating light and sound effect.
Step 3: Gut Your Tazer
become familiar with the circuitry and eliminate the things you don't need. I took out the flashlight LED and decided to use it for another project.
Step 4: Test Your Circuitry
Make sure your circuitry survived the gutting.
Step 5: Arrange the Wires to Your Taste
you can use bright colored wires for style, black for stealth