Any digital neon effect basically consists of 2 parts: the light, and the glow. Here's how I do it:

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Draw a line in a saturated light colour. Preserve transparency. Use the airbrush tool and add some lighter colour. Use it again with nearly white (this way you can create real volume, like in a neon sign). Create new layer, use airbrush again, but larger, with something like your original colour.
There's other ways to do this, especially using some glow FX.