Register vent + panty hose = no holes for those
It's not difficult, either. All you need is a piece of panty hose that will cover the gaps in the register without stretching (you don't want it to snap back on itself thanks to tension). The idea is to keep it nice and lax so all gaps are covered while still allowing airflow thanks to the breathability of the stocking.
Initially I taped the stocking across the inside of the vent, before I realized the kids had knocked the plastic flow director off the inside of the freaking thing—no biggie, it better keeps the stocking in place, and I won't need to worry about the tape's adhesive being affected by the heat of the furnace come winter.
So. It's been two weeks, and guess what? No Lego down ze register vent... sanity restored.