My wireless keyboard (a Logitech Dinovo) has no onboard indicator lights for the Caps & Number lock functions. This is no problem in Ubuntu, you can add a keyboard indicator applet to a panel.
If the applet doesn't appear in the Add to Panel menu, you can add it via the Synaptic Package Manager: search for Lock-Keys-Applet and check the installation box.
Simply right click on the panel where you want the applet to install and select the applet from the drop-down menu.
You can hide any of the three indicators (Caps, Num, or Scroll) by right-clicking the icon and selecting Preferences...