Generally speaking, you should expect the final exam to include problems similar to those that appeared in the homework assignments and the midterm exam.
More specifically, you should be prepared to solve problems of the following types:
For a unary operator, typically this is done by showing that an FA that accepts L can be (algorithmically) modified to become an FA that accepts op(L). For a binary operator, typically this is done by showing that an FA accepting L1 op L2 can be built using FA's that accept L1 and L2.
For some operators, a construction based upon regular expressions (or right-linear grammars) could be simpler.
For example, consider the "Erase all a's" unary operator. When applied to a string x, it erases every occurrence of a within x. For example, EraseAllA(bbacaabacba) = bbcbcb. Applied to a language L, it produces the language consisting of the members of L, each having all its a's erased:
Given an NFA M, to produce an NFA M' such that L(M') = EraseAllA(L(M)), it suffices to replace every transition p →a q by p →λ q. That is, every transition labeled a is modified so that its label is λ.