I believe that is called the seal, which is like a tube of rubber. It will come with the headlights if you order the full kit and not just the headlamps by itself.
See example here:
These come complete with everything
Includes back plate, seal, and bulb.
http://johnsmustang.com/Catalog/2160/
http://johnsmustang.com/Catalog/3308/
This one you have to reuse some pieces
http://johnsmustang.com/Catalog/2168/
*edit.. oh. I think you're talking about something else. The plastic housing that holds the headlights? You should be able to use the existing one if the new ones dont come with it.