Precisewitem from the Hacked Gadgets Forum has put together a nice tutorial on how to perform an LED mod to your Xbox 360 Controller.

“SUPPLIES BASICS
- Soldering Iron - 15W Can be purchased as a kit from rat shack
- 30 AWG Wire Strippers - Not necessary but will help out a lot
- Resin Core Solder - Comes in kit if you get it at rat shack
- 1/16 -> 1/8 shrinkwrap and shrinkable tape - Necessary
- LEDs - All same color or specifications. Up to 3V Forward voltage
- Resistor - Calculated based upon LEDs. Lookup Resistor Calculator
- Sponge - Not necessary but helpful
- T8 Torx Skrewdriver - sold with controller case
- 30 AWG hookup wire - 28 or 30 AWG is a must as the wire has to navigate the inside of the controller case. ”