So I desided to something about it :-P
Attached: Small video of me demonstarting that it works...
Step 2: Drilling
Step 3: Fire up your soldering iron
2 - Solder wires to the LED (pic 1)
3 - Add some hot shrink tubing, and shrink it.. (pic 2)
4 - Make as many as you need.
5 - Add the LED's to your pre-drilled holes, and bend down the pins. (pic 3)
6 - I've done a little "pin out" for for all the buttons. (pic 4)
7 - Solder the nedgative wire of the LED to wichever button you want. (pic 5)
8 - Now solder all the positive wires to the white wire (5V+) on the other side of the curcuit board, and bend them away, so you can close the NES PAD. (pic 6)
Allthough the LED only will be lit for a short second, you need atleast an 100 ohm resistor. If you do not use a resistor the LED will draw too much current, and the NES PAD will not be able to send signals to the NES, thus your buttons will not work.
You can add LED's individually to all the buttons, but if you press more than 3 buttons at a time, they might use to much current, for the NES PAD to work properly..