Here is another one of my guides to something which I thought was quite obvious but which I receive a lot of questions about. Using SIP sockets in Cherry MX switches which allows you to exchange the LEDs much faster without desoldering.
End result:
Required parts:Cherry MX switch, the MX lock is unsuitable unfortunately. I might make another guide for how to install LEDs to make the LED legs centered though.
LED, 2x3x4mm is suitable. If you get a round 3mm one, get one without the flange and preferably with a flat top)
SIP sockets, they usually come in arrays with a certain pitch where you snap off the number you need.
SIP socket:It is basically a socket which allows you to push in pins from another component into the top holes with no soldering required. The SIP socket itself is of course soldered in place.
SIP socket installed:You will need to install it inside the switch with its legs where the LED's legs would otherwise have been. The fitting is very tight so you need to be careful when you cut them into pairs to ensure that they will fit and allow the switch housing to be fully closed.
Closed Switch:
And when you push a LED into the socket you will end up with something like this:

Replacing the LED once this is done is possible when the switch is installed in a plate and soldered to a PCB. Remember to also solder SIP sockets to the location of the resistors, or put some switches there, to allow you to quickly change the resistance to match the LEDs. Anyway, I hope this helps someone.