Step 1: The bulk of it
after opening the nes controller (sorry for the bad photo) you will find five wires coming from the plug to the board the one you want to focus on are the white and brown wires. the next step is simple run wire from the white and brown wires to the front of the controller. drill holes and mount the Leds to the controller and sauder the wires you ran to the front to the leds and voila.
plug the controller in and turn on your NES