There is nothing to "build". You simply connect each of the LED leads to the diagnostic connector. For that I use banana plugs inserted into the connector sockets and connect these to the LED with wires.

The code reader described in this thread and countless other places uses an LED, a switch, a fuse, and a resistor. The fuse is redundant, the switch is unnecessary; and if you get the LED from Radio Shack that I mentioned, the resistor is built-in.