This is a real easy guide, you don't even really need to be handy with a soldering iron.

You will need.

LED Holder (N91AX from Maplin)
5mm 12v self flashing LED, I chose Blue. (N65AJ Maplin.)
Scotch Locks.

Disconnect the battery.

Pick where on your dashboard you want the alarm LED. Drill a hole the correct size for the LED holder.

Cut the legs of the LED shorter, remembering which is positive and which is the negative leg. Solder the wires to the LED. The longest leg on the LED is +ve.
Use the heatshrink to cover the legs.

Using the wiring behind the electric window buttons and the cigarette lighter, locate a constant 12v feed and a switched 12v feed.

Use the scotchlocks to connect the wire from the -ve (shorter) wire from the LED to the constant 12v feed from the cigarette lighter. Use the same method to attatch the +ve leg (longest) wire to the switched 12v feed from the electric windows.

tidy the wire up behind the dashboard and glue the LED into the LED holder on the dashboard.

What will happen now.

When the ignition is off, the switched 12v feed becomes a ground and completes the circuit. The LED will start to flash. Switch the ignition on and the LED stops.