My new laptop didn't had a CapsLock LED so I decided to make a little tool (in AutoHotkey) which shows the caps-lock status in the system tray.
The Caps-lock ON and OFF icons are distributed as single icon files so you can edit them to suit your visual aesthetics. You can download this tool from my dropbox or see the source on github
If for some reason CapsLockStatus's icon is not shown in the status bar, go to Customize Notification Icons and then make CapsLockStatus show "icon and notifications"
I hope someone finds this handy !!