I don't think this is a good idea.
Option 1) Assuming the XArcade circuit to each button was 5V. Then you could wire your LED (probably around 2V) and a resistor (to drop the 5V to 2V) in series with the button. Problem here is that the LED is drawing current and resistor is adding resistance to the circuit. The XArcade is not expecting a power draw or resistance.
Option 2) You wire the coil of a relay in series with the button. When the button is pressed, you complete the circuit on the relay. You can then wire the 5V power from USB or a hard drive connector in the case through the relay to a resistor and a LED. Again, the coil in the relay adds some resistance, although a solid state relay shouldn't.
Option 3) Purchase a special button that has a separate built in light with separate 5/12V power lines that lights up when lit. This is the only method I would recommend. Ex:
http://www.allelectronics.com/make-a-store/item/LPS-4A/12V-LIGHTED-PUSHBUTTON-AMBER-1-SQUARE/-/1.htmlAlso, if you were to do this, I don't think you would be happy with the result. A button that was lit up only when your finger was on it??? I think an always lit button would look better.