Step 6Snip, Sheath, & Solder
Use the pictures as a guide.
Soldering LEDs Together
Bend the legs of each LED to 90 degree angles. Clip the front positive leg so it is short , this is where the resistor will be attached. These are wired in a Series, meaning the LEDs legs meet back to back (postive-negative-positive). See the diagram for a visual illustration.
Set the LEDs into the drilled holes, as this keeps them aligned and pointing in the same direction. Make the legs meet, and touch the soldering iron at the meeting point. Touch your solder to the legs, and it should melt onto the legs binding them together. Now bend the front positive leg into a U shape, repeat for the resistor. This hooks them together and makes it easier to manage. Solder them together.
Soldering LEDs to Wires
After the resistor has been attached to the front positive LED, remove sheathing from the positive speaker wire, and solder the leftover resistor leg to it. Then remove sheathing from the negative speaker wire, and solder the negative LED leg to it. You can now test if your LEDs light up by plugging in your power supply.
Securing/Insulating with Hot Glue
Place the LEDs and the newly attached wires into the bar, and the LEDs go into the holes. Make sure that no LED legs or exposed wire is touching the bar. The LEDs and wire will naturally want to move around, so press the LEDs down with pliers so they are flush with the holes, pour on a lot of hot glue, and wait for it to dry.
Repeat this step 8 more times, and then its time to finish everything up.
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Since I know that the light bar will face abuse, LEDs get knocked loose, whatever, I simply cover the LEDs and the legs completely in hot-glue, ensuring they will not move, and even if they did from shock, they would be electrically isolated from the casing.
Hot glue is really a miracle for hobby-makers, whenever I solder a modchip to a Xbox motherboard, I often end up just covering connection points and wires in hot-glue, since it won't conduct electricity into the motherboard - amazing stuff.
The quick disconnects are not needed, they simply make it easier to shuffle around. You can just snip off the end of your power connector from the power adapter, and solder directly to your positive and negative wires.
As far as a switch for on/off, there are a ton of options. Just go to radioshack, and look in the Switch drawers, you'll find a lot of choices. I personally am a fan of on/off toggle switches (a mostly flat disc that tilts from one side to the other), but you'd need to drill a hole in the case to fit it in. The switch would only have a single wire running through it. So positive from the power adapter goes into one pin on the switch, and the wire on the other side of the switch goes to all the components. One break in the system turns the whole thing off. If you have anymore questions, feel free to ask.
As far as "voltage difference" I do not know what you mean. 9v runs through the positive wire, dumps its power into the LEDs, then any excess that the LEDs didn't use up in creating light gets sent back into the loop via the ground/negative wire. It should be 9v on both the positive and negative wires, but after passing through the LEDs, the current (mA) would be lower, but voltage would stay the same (voltage is essentially how hard electricity "punches" through a material).
For the last question, voltage regulation is highly overrated unless you're working with some hardcore wiring schemes (such as running two 5 Watt Luxeon Stars in parallel). These power supplies I'm using are el cheapo-crappy unregulated supplies whose voltage varies from 8v-12v all the time. Nonetheless, the LEDs work fine, and have been working fine for over a year now.