Well, presuming you are using both parallel ports from the ESS to the PMDX-126 (so you have enough output signals available), something like this should work. You will need solid-state relays or something between the PMDX-126 outputs and the 12V LED indicators - the PMDX-126 cannot drive them directly.
Spindle: presume you have an LED for "CW" (forward?) and "Stop". In the Mach4 Configuration->Control dialog, go to the outputs tab. Scroll WAAAAY down and you will see "Spindle On" and "Spindle Fwd". Configure the "Spindle Fwd" to drive whichever 126 output will drive the "CW" LED, and leave the "active low" as a red "X". That signal will be driven to 5V when the spindle is running "forward". Configure the "Spindle On" to drive whichever 126 output will drive the "Off" LED and change the "active low" to a green check mark. This signal will be driven to 5V when the spindle is OFF, and driven to GND when the spindle is on (fwd or rev).
Coolant: In the same "Outputs" tab, find the "Coolant On" output. Configure it to rive whichever 126 output with the "active low" a red "X". This signal will be driven to 5V when the coolant is on, and driven to GND when the coolant is off.