"...and obtained new contact wires from Robert Grossman."
We need to know who Robert Grossman is, what he sells, and a picture of the item that you bought.
That signal is simply a pair of passive lamp sockets, each with its own hot terminal, and with a common return terminal. By using a Lockon, (and assuming that you are using two wires, one to the center terminal and one to a side terminal) you are providing "hot" from the center rail, and "return" from the outside rail to one of two sockets. You are energizing one of the lamps continuously.
The signal requires a "hot" connection, either from the center rail (not such a good idea) or from a fixed voltage terminal (appropriate for the lamps you select) from your transformer that shares the same common as the track circuit.
Then, a short insulated contact is placed over the outside rail for each lamp. The rolling wheels and axle of the train bridge the outside rail on one side to the insulated contact on the opposite rail, completing the circuit for each of the two lamps. The flashing will not be even, or prototypical. It's just a toy, after all.
Lionel offered a similar signal, the #154 (and offspring) and energized the two lamps with what they call a #154C contactor. It gets you the same two insuilated sections, all in one easy-to-snap-on device.
If you were to Google the circuitry discussion of the #409, you would find this tutorial:
http://www.thortrains.net/maracc3.html
If you want/need a more steady, 30 ipm flash rate with 50% duty cycle, which is "close enough" to the real thing, there are several manufacturers who offer a small electronic circuit board that provides outputs to get that effect.