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On the web you can find tons of Led Bricks projects, but here's my version of this little and useless device.

I use this double lamp only to test some programs, such proximity detectors or other.

If motor polarity is "forward" will light a LED, if "reverse", it will light the other.

As you can see from photos and from schematic below, it is really simple. 

How to build:

Be ready to sacrifice a brick and hollow it;

Use a drill or a hot soldering iron to make two side holes (if you can fit leds inside the brick, looks better);

Cut copper plates to fit inside the brick;

Hot-melt a little of solder on LED leads and on the contacts;

Solder resistor (better if 1/8W power, which is smaller) with LEDs (pay attention, they must be opposite in polarity!);

Put contacts in the brick, solder resistor and LED directly to the copper plates and glue them.

If brick mounting on RCX is hard or there's no electric contact, gently bend copper and brick walls out, to enlarge the brick a bit.

If your LED brick seems like mine (even if you can sure work better than me!), you've finished. I assure it works.