I would check out some lighting sections at the home improvement stores to see about buying the outdoor lighting cages that would fit over the cheaper warning lights.
BUT... what about getting the regular rotating lights and then building a wire cage out of medium gage wire (and a pvc base) or cut pieces of aluminum? That would be pretty easy for someone like you, and tons cheaper and you could get exactly the look you want for a whole lot less $$$.
Lowe's or Home Depot should have safety cage lights. Just paint the clear bulb cover with glass paint. You could then use a flashing insert to make the bulb flash. I believe they are plastic cages though.
That style of light is typically a steady, flashing or strobe, not a rotating light. It is too slim to fit the rotating reflector in.
Keep in mind, any industrial warning light is likely going to be quite expensive unless you get lucky and find one that is used, but even then they can still be rather expensive if they are a hazardous location light.