Owners of trademarks are free to make whatever pronouncements they like regarding how people should use their trademarks. Users of the English language, however, have the final say of how the English language works.
Just as watches made by Rolex are “Rolexes”, Apple computers are “Macs”, shoes made by Puma are “Pumas”, cars made by Audi are “Audis”, portable video games made by Nintendo are “Game Boys”, by the same process toys made by Lego are “Legos”.
“Legos” is a common usage, though not universal, and many people don’t use it especially outside North America. However, the Lego Group, paranoid (completely unreasonably) about maintaining its trademark rights, has taken a strikingly strident tone in trying to force many people to use the English language in a way that is not natural for them. At one time, the web site at legos.com had a message saying this:
Please always refer to our products as “LEGO bricks or toys” and not “LEGOS.” By doing so, you will be helping to protect and preserve a brand of which we are very proud, and that stands for quality the world over.
Of course everyone is free to comply with these corporate demands, but the Lego Group has no authority over the English language to regulate it in this way. So if you want to feel guilty about using “Legos”, understand that the only thing you are guilty of is not obeying the demands of a Danish corporation, not for violating the rules of English grammar.
Here is someone’s thesis addressing some grammatical issues with trademarks, which addresses this very issue:
The LEGO Group is another example of a company which tries to strictly adhere to INTA's specifications, and aggressively protect its own trademarks. Its last standing LEGO patent expired in 1988 (CBC News), but despite other competitors moving in on its interlocking brick technology, trademarks can be kept forever, as long as LEGO makes sure to protect them. One almost embarrassing display of trademark anxiety is the domain http://www.legos.com. Upon visiting the domain, the visitor would receive this notice:
“The word LEGO is a brand name, and is very special to all of us in the LEGO Group Companies. We would sincerely like your help in keeping it special. Please always refer to our products as “LEGO bricks or toys” and not “LEGOS.” By doing so, you will be helping to protect and preserve a brand of which we are very proud, and that stands for quality the world over. Thank you!”
The visitor would then be redirected to http://www.lego.com. While it is true that “LEGOS” is not a registered trademark (USPTO), it is ridiculous for the LEGO Group to assume that a consumer's mention of “Legos” instead of “LEGO bricks and toys” is detrimental to the brand, and even more ridiculous to impose rules like this on consumers. What might be most ridiculous of all, though, is the purchase of the domain name, if the LEGO Group is so bent on distancing itself from pluralization of its trademark.