PANSHIR,
I agree with the Doc Ord and Zargon, do whatever makes you happy, which in this case probably means painting their "akalaks" or "kurtas" (Indian pattern cavalry jackets) red.
That being said, since you asked for more info, I will pass some on…
The 4th Bengal Lancers were not actually "Bengal Lancers" during the Second Afghan War, they were the 4th Regiment of Bengal Cavalry. They became the "4th Regt. of Bengal Lancers" in 1900, then the "4th Bengal Lancers" in 1901, then the "4th Lancers" in 1903 and finally the "4th Cavalry" in 1904 -- trying to track name changes of Anglo-Indian Army units can be somewhat maddening. It's still very possible they carried lances in Afghanistan, as other regiments with the more generic title "Bengal Cavalry" did so.
The 4th Bengal Cavalry were granted an Honorary Standard for service in Sind in 1844, which bore the device of a Lion "passant regardant" -- a Lion walking past with a raised right front paw and its head turned looking back over its shoulder.
Chances are they would not have carried such a special standard with them during the Second Afghan War, but you might want to consider allowing them to do so, as like the red jackets it would certainly look cool.
Their "pagri" (turban cloth) was gold with blue, silver and white stripes around a red "kullah" (the pointed skull cap around which the turban is wrapped).
Hope this is of some help, also hope that when you finish painting the unit you will post some pics for the rest of us to see!