Through hole requires the diode to run through the switch, which limits LEDs.
I'd go with SMDs.
I'm at work, and my collection is at home, but I'm moderately sure that (for reason of supply numbers) I chose through-hole, and added all the diodes first, and switches later.
I think though, that to do that you have to have the diodes on the underside, away from the switch or, as you point out the switch won't fit anymore.
SMT on those little things is nifty. I have a 60% ALPS keyboard about half-wired and I keep thinking I want to get back to it ... along with all the other half finished projects. Like the adding RAID-50 to my home PC that required replacing the motherboard because booting to CD was proving nigh impossible.
This reminds me, I have to update and upload the Enabler files.
Great to see you near a computer an on the forum, Moz! Makes me wish I could say the same about me.