Step 3: Check that everything fits
First of all, check that your LEDs will fit the 3 round tubes on the bottom of one of the 2x4 bricks. It'll probably be a little too tight at this stage, but almost fit. That's fine.
Check that your switch and battery holder will fit completely inside the traffic cone - the switch goes in first, and the battery holder will probably need to go in diagonally.
Finally, check that your hose (or other choice of 'pole') fits snugly in the top of the traffic cone. It might not push all the way in yet - that's OK, so long as it fits the opening.