Not easy at all, in fact is very complicated. I assume you want it to beep shortly at the second attempt to lock the car. If you want it to beep every time it locks, appears to be as easy as connecting a wire and a diode from the door lock relay to the horn (is just a matter of jumping two pins on the PZM connector. But then how about when you unlock the car? It will beep to, and the beep is not as short as you would like, is over 1 second long.
You will need to make your own electronics with some 555 timers that are engaged at the first lock and if you press the remote one more time to lock in the following X seconds it will beep shortly. I posted a diagram of how I would do it using just relays.
That's one thing I don't like about the remote entry on my Deville that it gives you no indication if it actually locked or not. I used to just hit the power lock button on the door every time I got out. Then I got remote start and usually use it's lock buttons instead.