1) Are PCBs the only way for a keyboard to have LEDs or can I have LEDs another way? I just want a static white light on it. Maybe hand wiring it? Also, how will I be able to change the brightness?
2) How do I have a CAPS LOCK indicator? Is there any way I can make it to where the LED for that keycap turns on when the CAPS LOCK is on? Or can I have a whole other LED somewhere else for it?
1) The biggest problem is handling the electrical current needed to light all LEDs up. USB 2.0 ports can handle only 500mA of current. Given the fact that a typical LED consumes 20mA maximum, you have a problem to light all LEDs of a given keyboard, even a 60%.
The common solution is to multiplex the LEDs, so just a fraction at a time are activated for a short period. Do that fast enough and human eye will not be able to see the LEDs going off. That's the same principle that makes cinema possible. And that's why it is easier to do that with a PCB, the additional electronics components needed usually goes soldered there.
If you use an external power supply to light the LEDs, you can completely ignore what I wrote.
2) On TMK firmware you define a port to be the Caps Lock indicator and connect the LED to this port. Simple like that.