Four to Eight LEDs shouldn't be a problem. Never heard of a LED cannon, I assume its just a different profile.
As far as turning them off, Andy's instructions are for leaving them on. However, if you look at the diagram is shows you leads for NumLock, ScrollLock, and CapsLock. My LEDs are wired to NumLock. If I want the LEDs on I just have to make sure I switch NumLock on before I launch a game. Once the ROMs are running MAME won't let you toggle the LEDs via the keyboard (However, it will usually leave them alone.. stay lit or stay off).
Oh... change the subject line of your first post and you might get more responses.
i.e. "How to power external LEDs?" or "How to power LEDs from USB?"