Hi Caroline, you can use a host of thermoplastics that let some light through, It really depends whether you are also covering the thermoplastic with fabric/straw etc and whether you want a totally transparent or opaque look. I would recommend using Worblas TranspaArt, for clear, or another is CrystalForm (its a PET) . Worblas Kobracast is great as its thin & stretchy and has holes so even if you cover with fabric or perforated leather the light will shine through.
Use only florists LED type lights as they use batteries, are lightweight, you can hide the battery pack and turn on/off in your pocket etc, and they produce no heat. If you can get the one light with disc battery then thats good too as you can place them inside the hat/object and are very light, but you need to turn them on first which is not ideal. You can google where to buy all above in your country. Happy ThermoHatting. Carole x