What I did was wrap the tips of the speaker wires that go directly into the subwoofer box terminals with the tips of the neon light wires, and then inserted them into their respective + and - terminals on the box. Make sure you're using the + to + ends and - to - ends obviously. Doing it this way creates a circuit that passes 12V from your amp into your sub and also into your neons. And when the bass hits harder (more power to the subs), the neons flash harder (more power to the lights).
If they got fried using the method I just described, you might need to get stronger lights. Especially if they are going to be handling various amounts of power repeatedly.