It helps to define a visual language, and use it consistently. For example, Lego pieces with smooth tops can represent places where it is difficult or impossible to stand, while terrain features with lego studs represent places that characters can move onto. In my campaign, yellow bricks usually represent some terrain feature that is magical, like an illusion or a newly conjured wall of stone.
The most basic Lego construction is a dungeon wall:
When I started, I made them six bricks high, for realism, but that obstructed the view of the players. Walls three bricks high work just as well for defining the environment, they allow you to make twice as many walls, and they allow easier access to the play area. I am still stuck with a lot of six-brick-high walls made from the large premolded rock wall pieces, but I can use them for the background and keep the smaller ones in the foreground.
It is possible to use walls that are simply a lot of bricks connected together, but I prefer to make mine with a joint for extra flexibility and stability:
There is also another option for dungeon walls. You can take large plates, add smooth-topped and slope bricks to them, and put them on their side. This gives you more walls, and lets you use up pieces that might otherwise not help you much:
It is surprisingly easy to turn a pile of random Lego bricks into a box full of dungeon walls, and also surprisingly easy to run an entire campaign with just a couple boxes of dungeon walls and dungeon dressing. I find that creating random dungeons on the fly is much faster with bricks than with dungeon tiles, and the result is more fun, engaging, and immersive.