here is how i do it.
-i get white
-blue, purple, green, or what ever candy color you want. just use one candy that you like. i personally like the purple.
-and my airbrush
1) put white in your airbrush and make the random lightning streaks. let your stream be 3/8 to 1/2 inch, and be light w/ it. you don't want it too bright of white.
2) spray your candy
3) let the candy dry and come back w/ the white on top on the lines you just put candy on. this time do some tight lines. 1/8 inch.
4) spay more candy.
5) pick out which lightning you want to be closer to you. (this is where the best part of the depth comes in) make the line 1/16 inch or so. don't do all of them just the ones you want the closest.
there are other ways to do it, and i do it differently a lot. this will get you started and you can make your own style.
good luck!