If you're adding them to this locomotive, I just use 3mm flangeless LED's for the job.
eBay: 321186777202 will give you 100 of them for $4.20 shipped. Tons of other sources, I just hit the first one.
You just have to knock out that plastic insert that tries to light the class lights, and then fit the LED's into the hole. At times, you have to slightly enlarge the hole for stuff like this Railking locomotive. Since you don't have the marker connection in the locomotive (board in the tender), you can power them from the headlight circuit. Use a 220 ohm resistor and wire the two LED's in series. The positive lead goes to the purple lead for the headlight, the negative lead obviously goes to the other headlight wire. The resistor can be in either lead or between the two LED's, they're all strung in series.
Remember, NOTHING goes to frame ground in PS/2, the lighting circuits are totally insulated.
