You're going to need some items to customize your minifig.
. Soldering iron ( ~25 watts is plenty ) and some solder
. Xacto knife with #11 blades ( any brand will do - as long as they are sharp )
. Several 1/32, 3/64, and 1/8 inch drill bits ( a spiral push drill from micromark.com is ideal )
. Several CR1025 3v coin-cell batteries ( Amazon has all kinds of inexpensive batteries )
. Kynar wire ( available from Digikey, Mouser, or Jameco )
. Wire cutters or scissors
. Selection of 0805 LEDS ( go smaller if you can ) for the small stuff and 3mm for the big ones
. 5 minute epoxy and some popsicle sticks
Little bits of thick copper hobby foil and some 500 grit sandpaper can be useful as well. Oh! There's a great resource for 'side glow' fiber optic from TheFiberOpticStore.com. It makes an awesome light saber - I digress!
Planning Your Build
There are soooooo many options: glowing eyes, repulsors, an arc reactor, laser guns, light sabers, fairy wands, etc. Your Lego minifigs will be so awesomtastic you'll have to hide them from your kids!
I typically start by going to a local super-center and picking up a couple 'mystery' minifig packets in the toy section. They are only a few dollars and are great starters for developing your skills.
There isn't a whole lot of room in the chest cavity for a battery - but it is possible. You're going to have to remove most of the 'wings' on the inside of the body that hold the legs in place to get the battery to fit. Not too much... remove only what you need to get the battery to sit firmly in place. Connection wires for the battery can be easily run in the top and bottom wing channels.
Cut the inner portions of the leg studs away and trim the top down ~2mm. The rest of the space for the battery will have to come from the shoulder pegs... trim off everything above the bump that holds the arm in place. You may need to fit the battery as you go to make sure you've removed enough plastic.
Kynar is really thin... you can easily run two strands of it in a 3/64 inch hole. How do you drill a 3/64 inch hole? Good question - start with a 1/32 inch pilot hole, then move up! Do your drilling in good lighting and don't rush - take your time and enjoy the ride.
The solder connection on your LEDS is bound to wiggle free... which will give you a sad. Combat sad with clear Epoxy!
Seriously... using a Dremel to drill small holes could be compared to swatting flys with a canon strapped to your back while riding a wild pony. It's too easy to take off too much and a Dremel creates a ton of heat in the process - not good. If you take it slow with a push drill and use sharp bits - you can cleanly run wires inside and out. Use the 1/32 inch drillbit on the hand, 3/64 on the arm/shoulder, and 1/8 on the big stuff. Try not to let the bit 'wobble' around as you drill... unless you want it to.
Um... is there any place an LED shouldn't go? I guess that's really the question. If you think it would be cool to add a light in the middle of a ray gun - do it! Just keep in mind the forward voltage of an LED may cause one to be dim and another to be bright. Always test your LED 'brightness' before you start to assemble.
Ok... enough talk - time to make!