Indeed, DirectX itself has only support for 8 lights and the first one is taken up in DB with the 'ambient light'...
Whenever you use a light, DX processes it pretty much perfectly, taking everything into account. Even trying to do this 60 times a second will seriously slow your game down, as DirectX has to process more maths per polygon.
With a complex scene, you will seriously struggle to get a playable framerate with all 8 lights on. That's what lightmapping's for; baking the light data onto the textures (pre-calculated) so it hasn't got to be calculated at runtime.
Use lightmapping for normal lights, and DX lights if you're working on a complicated scene with multiple flashing lights to create a cool ambience.
(Oh yeah, and re-use your lights; when they're out of view, hide them, and you can always make a 'dynamic lights system' so that the 7 lights you have access to are re-used as the cloest lights, and when a user moves into another area then the lights are repositioned around the new area.
You can pull it off, if you need dynamic lights support that much.)
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