Step 1: Get your stuff
Yes, I know. You've probably seen this before, and your probably saying that this wasn't my idea. So no, its not my idea. I just couldn't find it on instructables, so I decided to post it as a reference for the rest of us.
You will need:
A USB memory stick (the thinner the better, it should be thinner than the lego piece)
Some Legos (either 2x4, 2x8, or whatever size you need to fit the memory stick.
A dremel, with a sanding part and that spinner-disc thingy part (see picture)
Step 2: Get your USB and empy out the lego
Next, use the rotary disc to remove the insides of your lego piece. I did this by first cutting the middle out of the end of the lego, and then working my way down to the end. Remember to only open up one end of your lego, and only make it as wide as the USB port.
The disc is the most useful tool, because you can make cuts length-ways into the bottom of the lego, without going through the top. After doing this, tilt the disc at an angle then cut of the extra pieces of plastic.
Next use the rotary sander to flatten out all that you couldn't get using the disc. Also, you may need to thin the walls of the lego, in order to allow the USB drive to fit. The sander is useful for this too.