For quick and dirty y cable the esc to a second brushed esc and you can drive LED's from there. Test the voltage and use an LED resistor calculator to determine the correct resistos to put inline

If you're ambitious, checkout Spark Fun or Adafruit for one of their smaller Arduino based boards. There is an Arduino library out there (I've used it in the past) that will allow you to read the RX output, which you could then used to control the PWM output to the LED's.