I'm assuming your engine has a proper flywheel, not an IRK? If so, the charge coil is probably already there. Cheap enough to fit one if its not.
To run lights without a battery, you need a special regulator/rectifier with a big capacitor attached to it. Without the capacitor the reg will burn out very quickly. Mid 80's model xr250's are fitted with the unit you need, you should be able to get one from the wreckers. I have one here but I'm not gonna part with it, sorry

I can help you with wiring if you have any trouble though.