I don't know what type of voltage runs through the switches, but I would solder the leds to the switch prong itself, then when you press a key to complete a circuit, the LED would also light up until you release the switch.
though making it all fit would be pretty hard, but in theory, it would work right?
I don't know anything about electronics but I think there has to be a resistor involved somewhere.
that's usually just to protect the LED from burning out.. you don't "have to" have it..
The resistor limits the current and therefore the power (since LED's are basically constant voltage devices) through the LED, and will prevent them from burning up. you only "don't have to" have it if your power supply is set up at the proper current limiting anyway. Even then it's a bad idea to forego resistors, as if one LED fails, power to the rest will go up, causing more to fail in a cascade of failure.
Cherry switches should be able to handle the LED voltages easily, as KB matrices are generally driven at 5V anyway, the problem with them (and most other switches) is that it can't handle the current.
Even if they could, the scheme would be further complicated with getting the microcontrolelr to output that voltage to the switch matrix, and you'd have to sample the matrix at a scan rate that's high (to avoid flicker), and have input / output protection on low current digital IO pins, etc. In short: a huge pain.
What has been done in the past is wiring up all the leds to a microcontroller individually. This was done before the pictures were removed from GH, so I don't think they survived. This is a much better solution, and has an added bonus of not having to worry about as many crazy issues with the microcontroller. (you dont want to be running a sensitive digital sensing circuit at high power.
An interesting solution is to use a sub PCB just for the LED matrix. With a PCB like the poker 1 that has disconnected LED holes, you can insert LED's through the PCB and solder to a sub PCB, making wiring much easier. I can do the hardware, and some of the electrical engineering of such a thing, but the programming is beyond me.