Personally I tend to prefer to use the form "LEGO®" in written text. It's a little trickier in spoken word, but I find that if I append some boilerplate trademark text it sounds surprisingly natural:

"Timmy, that's the third time this week I've stood on your LEGO® in the hallway! Clean it up or we're going to confiscate it! LEGO® is a registered trademark of LEGO System A/S, DK-7190 Billund, Denmark."