Step 1: Remove wheels
Step 2: Remove the skin
I left the skin attached at the nose as it was stuck pretty good.
Step 3: Remove the innards.
Then remove the 2 screws towards the back of the Zhu Zhu leaving the front one in place. Pull slightly apart so you can remove the speaker and retention bar. Should have all parts removed.
Step 4: Wiring LEDs
Shorten the leads on the LEDs and solder short wires to them.
Solder the LEDs to these contacts and test with batteries. This should make the LEDs light up whenever the Zhu Zhu pet moves.
They were then glued in place with some crazy glue.
Make sure to bend the leads on the LEDs back close to the shell so there is plenty of room for the innards. Also make sure the area for the buttons are clear.
Then skin slipped back onto the shell. Some hot glue can be used to reattached the skin if wanted.