The blink without delay example is what you should look at and make 2 of them running together.
Your problem is/will be that the the delay() function stops the program at that point (should be called stop() :)) and so will not allow you to smoothly control 2 lights at the same time. You need to implement a scheme that does not just stop the program - the example shows you how to do this with the millis() function and a few variables.
Good luck!