Here is another diagram. On wire from the light switching relay coil goes to the minus side of your power supply and the other goes to pin 87a of the track power relay if you are using Trackmate. If you are using LEDs different colors operate at different voltages so you will need a dropping resistor in series with each LED. There are online calculators like this one for picking the right resistors: http://www.quickar.com/noqbestledcalc.htm
The diagram shows red LEDs on when the track power goes off, you can substitute yellow LEDs. The other LEDs would be green.