At the lights. The glass shield stays cool enough to touch, thanks to the fans. On my bought-fixture, two standard good computer fans, one blowing in directly onto the bulb, one exhausting out at the other end, which also helps a bit with the dust problem. They're wired to go constantly: they could be wired to go whenever the lights go on.
And I can't overemphasize how important that tempered glass shield is: the mh lights are like movie projector bulbs---you want not to get your fingerprints on them: handle them with tissue or the like; and a splash of water hitting one when it's on will shatter it.