Scroll down through this page:
http://forum.baboo.com.br/index.php?/topic/757546-corsair-vengeance-k60-review/You can see the PCB near the bottom of the page. It's a plate mounted board, but it doesn't matter since you feed the LED pins through the switch to the PCB with the switch in place. The PCB has pads for the LED's and individual resistors, so it's not too hard to mod. You need to be able to solder SMD, though.
You need the right type of LED, too. The easiest ones to find (which work) are 4x3x2 rectangular LED's, but if you can find 3mm flangeless round ones (normal round 3mm LED's have a flange at the base that prevents them from sitting in the space in the switch top) that's even better.
You can work out the resistor required from the LED specs. Assume 5v supply and use:
R = (5v - LED voltage drop) / max LED current in amps
That will give you the
lowest value resistor you can use. That'll probably give you VERY bright LED's, though, and most work fine on far lower currents than their max ratings,
even down to a couple of mA sometimes, so you can go with up to 1500 ohm resistors in some cases.
If you don't need them to be massively bright, you can divide the max current by 5 or so when doing the calculation and simply use the nearest vallue resistor you can find.
Good luck with it and please keep us posted.