You are correct that you'll need 3-wire cable to wire the circuit as you describe. You left out the part that you'll need 2-wire cable from the second switch to the second light fixture. I'm assuming that the two switches are in the same box. If not, you'll need 2-wire cable to go between the switches as well.

I saw this done in a wiring book from HD, but it has the 3 wire going to the second fixture, then the switches, so I can't figure out what goes where.

So my question is, I have the three wire runnin g to the first switch. How do I connect the 2 wire to the 3 wire in the first fixture box. Then how do I connect the three wire to the two switche and to the 2 wire going out to the second fixture?

I'm not sure if this is exactly what you're doing, but here's a diagram. The black dots are connection points.