It is fairly involved... you need to have basic Ohms Law knowledge in order to get your current limiting resistor sized up and installed. The LEDs I used required a 60 OHM resistenace to feed about 70ma to all four LEDs in parallel.
You have to desolder the fill solder in the pads of the LEDs in order to get the LED leads through, I did not have to remove my display board.
Once the LED solder pads were empty it was just a matter of fitting the switches with the new LEDs and soldering them in place. (minding polarity)

The hardest part was Drilling out the switches and getting the holes all the same size and centered... the Epoxy part was easy...
Just stick tape on the flat side (front) of the button after the hole is drilled and drop a bit of 5 min epoxy into the button from the back side, (you might need to stir the epoxy in the button a bit as to not leave any gaps or large air bubbles.
let it dry and peel off the tape. you will have to clean the front (polish) of the buttons as they will hang on to the sticky stuff from the tape.

Brian Mihulka has also done this mod...
See his shots here: http://www.hulkster.net/empeg/
His site also has some explanation and will show close up shots of the switches them selves.
I will post some more pics tomorrow....
I'm done for tonight. Off to get some sleep.