Modify your keyboard and solder a wire to permanently enable the lights, see http://atinyhedgehog.za.net/2014/12/cm-storm-devastator-keyboard-mod for more details. I didn't search the web before coding this up, once finished I found this thread and decided to post my method anyway.
Sorry for digging up this old thread, but I wrote a small program that you can place in your startup directory that enables scroll lock. Source: https://github.com/mrexodia/ScrollLock Also attached the source+signed binary. ScrollLock.zip