Glad to here you got it working.
For your inline fuse holder you can get something like this blade fuse holder:

(you just insert a blade fuse, cut the ring and wire it into your +5v feed)
A standard 1 1/4" fuse holer like this:

(I think you have to solder the wires to the fuse so its probably not the best option if you need to change the fuse)
Or something like this:
(Just insert a fuse and use quick disconnects to connect it.)
All of those products are from Maplins in the UK but you should be able to find something similar from your local electronics store.
In regards to the fuse size, work out how much current your LED Wiz is likely to pull at full intensity by adding up the mA of each LED and then choose a fuse size just above that total.
The fuse holder wants to be inline between the positve cable from your PSU and the LED Wiz.