From what I've seen with Chinese, is that they try to use a certain set of characters when representing (at least) countries and also just foreign words in general...

from what i can figure if we use what seems like the "standard" set of characters Charing Cross Road would be:

查尔英*克罗斯*路
(cha er ying * ke luo si * lu)

(路 - lu = road)


as for Leicester Square, I'd think it's something like:

莱克斯特*场

(lai ke si te * chang)
(场 - chang = square)

but, with so many characters to choose from if you want to try for a different meaning you can do that too...but, it does seem like the chinese tend to reuse the same set of characters for representing the same syllables from other languages...usually...

for a lot of names in Chinese characters go here:
http://chineseculture.about.com/library/name/blname.htm