As you can see on this diagram: http://www.twistedpearau...6mux_control_wiring.pdf, there are four unused terminals of the third pole on the rotary switch provided (top left). These are connected to the top unused center pin.

For LED indication, simply run 5V or so through a resistor to the center terminal, then from the four outer terminals to your LEDs. Connect the other LED legs to ground. The value of the resistor will depend on the LEDs you use, how bright you want them, and the supply voltage you use. For 5V, something in the 220R to 470R range would be a good bet (~23mA to ~11mA). Raising the R value will dim the LED. Typically you don;t want this sort of indicator to be overly bright, so higher might be better, but it's up to you. You can play around with the brightness before hooking it all up.