Insert the 3 LEDS in the case holes. You may want to push the LEDs with something more rigid than your finger. The screwdriver's handle could be fine.
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When it's done, you have to solder the 2 LED wires (red/black) with the 2 spare wires on the MIDI JST harness (white/yellow). Polarity is important, so don't cross the wires:
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* LED's red wire => JST's white wire
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* LED's black wire => JST's yellow wire
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After soldering all the 3 LEDs, you may want to protect the connection with heat shrink sleeve, adhesive tape or hot melt glue.