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)