Step 1:

Remove 6 screws from back of controller and take out the board. Locate the spots I've identified in the picture above.

Step 2:

Solder a 100 ohm resistor to the positive leg (longer leg) of each led.

Step 3:

Drill holes above each button where you are going to insert the led.

Step 4:

Make sure after soldering to test fit the led's into the holes and press the board all the way in seating it to make sure everything is fitting ok. Then remove board again & use electrical tape & hot glue over the solder joints you added to make sure nothing will make contact with anything else which will lead to a short or worse.

Step 5:

Once you are confident nothing will touch reinstall the board & make sure the led's are sticking through the holes before screwing back together. Also be sure you clean everything good with rubbing alcohol & qtips.

Step 6:

Test to make sure each button is making the led light when pressed. Seen here red lights when Mario throws a fireball, appropriate don't you think? Green lights when he jumps.