1) Get the wire that feeds the lights into the switch box
2) If all lights are on the same circuit (controlled by the same switch) you only need one continuous wire (at rough) for the lights
3) The continuous wire runs from the switch, behind sheetrock, through the studs. When you get to a location for an under-counter light, pull a section of wire out at that location and continue to the next light location and do the same.
4) When you are finished with the rough it should look like this: wire will be pulled to feed the lights into the switch box, then there should be at every light location a looped section of wire about 8" long. This looped section of wire will be cut in half outside the wall at time of finish when you need a wire to feed the 1st light and the other half of the wire continues the leg of the circuit to the next light. At the end of the circuit you should have the end of the continuous wire, this will be the end of the circuit so you won't have a wire going out of the last light.
It depends on what type of light you are installing as to how to connect the wire to the light to meet code. The lights we used in california in a track home were low profile fluorescent tube lights, the wire was used was standard romex that was fed through a knockout in the back of the light with a romex connector in the knockout, the lights sat flush to the wall.
Does this make sense.