Well, you can successfully eliminate bed bugs from your Lego items by a number of methodologies. Note that bed bugs would not prefer to harbor in or on legos as, for the most part, they are basically hard, smooth plastic which is not a bedbug friendly surface. So, I would recommend you to hire a professional exterminator, and there are some companies who are specialized in heat treatment for bed bugs which will blow hot air into your home with a target range of about 140 degrees F. My brother was also dealing with the same situation so he had called up the exterminator bed bugs services, where the professionals had placed his Lego item in a suitably sized storage box and then thoroughly apply heat or steam to the Lego. I would advise you to research the company you are interested in. Make sure to go through with internet references and other customer recommendations to checked out.
Good Luck!