You wouldn't solder them, unless you could wire them to get power from the USB.
Show Image
(http://www.theworld-export.com/uppic/1546/15713/led-string-lights-823.jpg)
Other than that, I believe the only way would be to drill holes into the PCB, then make traces to all of them. I don't think you'd want to do all of that, but if you do, I'd be interested in seeing that!
looks like christmas.. hahaha. i guess i'll just shove the led's into the switches them string them up and connect them to the usb. it'll be sooo messy... Le Sigh...