Has anyone found lighted lanterns that could be used for a hearth fire house. Ive only been able to pickup the ones that are unlit.

there are none.
I place torches on the floor and on tables instead.

I really miss lanterns and candles from MW, used to have a whole table dedicated to them.

svcks that you can't use them. Those darn PC users.

Try the torch trick. Drop one on the floor or wherever and exit the house. When you come back inside, it'll be burning and it'll illuminate a nice area. This is the only way I've found on the Xbox to dispel the gray gloom of the ambient lighting in the Hearthfire house. I also tried building all the shelves and wall sconces but those don't do a whole lot (some do more than others).