Hi John! Not sure how many different ways there are to do this, but I recently did a conversion on an old Roco locomotive that I wanted to replace the old bulbs with LED's. Although I used a DZ125 in my install, I think they are basically the same for this part.
All I did was solder a 680 ohm resistor onto both the white and yellow wires coming from the decoder before they get attached (soldered) to the appropriate leads on the LED's. The blue wire does not need a resistor and would go to the other leads on each of the LED's. Hope this makes sense. There's some photos on my blog that might help you as well:
http://quinntopia.blogspot.com/2011/01/locomotive-roster-sncb-series-59-roco.htmlThere's others on this forum who know a lot more than I do about decoder installs, so they may be able to provides some additional information as well.
Good luck!