Learn Portuguese (Portugal): Preferimos as luzes azuis.

The singular word for "light" is luz. In Portuguese, nouns that end in the letter -z (or -r) form their plural by adding -es. So, luz becomes luzes.

Why is the plural of azul written as azuis?

For words ending in -l, you form the plural by dropping the -l and adding -is. Therefore, the adjective azul (blue) changes to azuis to match the plural noun luzes.

Does azuis change depending on whether the noun is masculine or feminine?

No. Adjectives that end in a consonant (like -l) usually have the same form for both masculine and feminine words. Azul (and its plural azuis) works for both, so it just needs to match the plural number of the feminine noun as luzes.

Where is the word for "we" in this sentence?

In Portuguese, the verb ending tells you who is doing the action. The -imos ending in preferimos already means "we prefer", so you do not need to include the word nós (we) unless you want to add special emphasis.