The acronym point is a good one that I hadn't thought of before.
Let's see... how do you pluralize an acronym?
The first three acronyms I can think of are Laser (Light Amplification by Stimulated Emission of Radiation), Scuba (Self Contained Underwater Breathing Apparatus), and Tip (To Insure Promptness)
People say "Lasers", but that's usually just a shortening of Laser Beams or Laser Guns or something.
People never say "Scubas". In fact, I've never heard Scuba as a noun at all! Just Scuba Gear. But you can't have more than one Scuba Gear, only Pieces of Scuba Gear! Aagh, never mind.
Tip (to clarify, this is the restaurant kind of tip) is used as a verb (I tipped my waiter 5 dollars), an adjective (I dropped my coins into the tip jar) and a noun (I left my tip on the table). I guess you could leave multiple Tips, but would it be grammatically correct? I don't know.

So I guess, out of all three, "laser" is probably the closest grammatically to LEGO. LEGOs therefore would be correct in conversation, but when writing a paper you should probably use LEGO bricks, LEGO pieces, or LEGO products.