(Please note that you won't be able to access the SIM card or the onboard Micro SD socket if you go for the enclosure.)
Step 1: Parts and Tools
Vodafone K3565 / Huawei E160X USB 3G dongle
Huawei 3G Plug to SMA Socket pigtail (PIG-HUAWEI-SMAS-30 from Solwise in the UK, other suppliers unknown?)
75mm x 50mm x 27mm enclosure (Unscreened or Screened)
3G external antenna with SMA connector
5mm drill bit
Small Phillips / Pozidrive screwdriver
Fine-grain sand paper
Nut & washer for SMA connector OR epoxy resin (depends how lazy you want to be about fixing the external antenna connector to the enclosure!)
Step 2: Make our LED brighter
I simply took a flat file to the area above the Vodafone logo to remove the semi-opaque coating, and then polished with some fine-grain sandpaper.
For maximum light you'll want to drill a hole in the upper shell of the casing and led the LED shine bright into the enclosure; this approach will give a much brighter indicator.
Step 3: Disassembling the dongle: Remove screws
Step 4: Prise open
Step 5: Look for external antenna connector
Step 6: Connector close-up
Step 7: Mark up the area for filing
Step 8: File away until the connector fits
Step 9: Enclosure: Create hole for USB connector
Step 10: Drill a hole for the SMA connector
Step 11: Insert the dongle into the enclosure.
As you can see here, I elected to keep the SMA connector in place with epoxy resin. A nut and washer would have done the job a little more neatly if I was able to source them.