The buttons don't light up in Exec, Lumina, Acclaim, S, SV6 manual, and VY-I SS.
They do light up in later SS, Calais, Berlina, SV6 auto, Monaro, and HSV models.
And before you ask, it is possible to do but it means the "clockspring" (the rotating thing that gets the electrical contacts to the wheel) has to be replaced along with wires added to the harness, not the mention the wheel button pods need to be pulled apart and the LEDs and resistors need to be soldered in. Oh, by the way - I got the price on a clockspring from Holden - even at trade it was over $300. (needless to say I didn't worry any further about my wheel buttons lighting up)
Jamie - got the colour change thing happening not all that long ago. However it only works if the needles are white in colour, so that when the lights are on the back of the needle reflects the different coloured light.