It is a led socket
like this with a bright led bulb. I wired this to a 12v cigaret lighter plug and plug it into my cigaret lighter. I have two and one stays on when the ignition is off. You could use a battery from and electric drill probably or add a connector to a part of your harness that stays on or run a dedicated wire to the battery.
I took a piece of 1/2 SCH 40 PVC and cut it in half lengthwise for a few inches on one end so that the socket could be mounted into the other half. I wire tied the socket onto the pvc and added some hot glue to secure things a little better. A few more wire ties to create strain relief for the wiring. Bottom line is make a stick a little longer than your steering wheel with a light on one end. I'm sure you could make something that looks better than mine.
I then got some bungee cord and made a loop that was the right size so that I could loop it around the lighted stick and it would stay straight up when the wheel was straight.
After I hook up I plug that in and we can see it moving back and forth as we drive. When you make some quick S turns it's nice to know the wheel centered.
I'll add a picture later when the sun is up.
As for using the battery from a Milwaukee drill it is very easy. You just get two spade crimp connectors and put them on a red and black wire pair. Mark the positive side of your battery with permanent marker and you are good to go. If you want to be safe add a fuse to the positive side.