It will depend on the switches and controls you're using.
If you have basic sectional track where the switch machine is molded in as part of the switch, it's fairly difficult.
You may be able to put a microswitch beside the points if something sticks out there when the switch changes.
If you have a separate switch machine, these are available with extra contacts that can be hooked up easily.
If you have a switch that kills the power to the track not taken, you could hook lights up to the tracks, but they will vary in brightness with train speed and may not last long if you run at full speed a lot.