If you consider with the standard 3-position E-Unit that the brushes are alternately connected to the center roller, depending on direction, it's easy to visualize. Just connect one LED (with appropriate current limiting) between center roller and a brush. Connect the other one between center roller and the other brush. That will give you directional lighting.
Note that the lights will all be dark when stopped, that's the penalty of not having power in that instance.
