If you have something with a clip that screws on, you can use one of the 3 drop-style clips from here:
http://www.knifekits.com/vcom/index.php?cPath=60_101
I bought all 3 of the drop style to try out on my Nitecore Extreme. None had the holes lined up exactly right, so I had to oval them a bit. On the NEI, the use of one of these clips is actually a hinderance because of how high the clip mounting surface is. The light is actually TOO far into the pocket, so it's hard to find when I need it. I went with the Model 19 (large). It's a big huge clip that doesnt snag on anything, fits the mounting holes like a glove, and grips tight and won't let go. It also allows me to grab the light quickly from the pocket.
If you don't have access to a drill and tap set, or your light lacks a flat surface to tap into, you could probably still rig something that wraps around the body of the light to use one of these clips.