PLEASE ignore Pacifist's response. First, LEDs require
resistors, not diodes. Second, they come pre-soldered, so all you have to worry about is the LEDs, as Cottonsox mentioned.
As for how to
actually do this, you'll need to first desolder the LED pads. The manufacturer soldered over the holes, so you need to remove that. Then, pop the LEDs in, making sure they're in the correct orientation (LEDs, like diodes, and unlike resistors, have a polarity), and solder them in. Not too hard. The most obnoxious part is having to desolder all the pads.

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^^ this is basically what Cottonsox said, but I just wanted to offer a tiny bit more information. Hope you don't mind, Cotton!