From the finished picture you can see that I chose to use 2 LEDs rather than a tri-colour one. This is because I am a little colour blind and find it easier to look at 2 LEDs rather than interpret the colour from a single one. You may also see that they are 5mm LEDs, thats because I had them in stock. There is no reason why you can not use 3mm ones.
I used a classic style XLR plug for this as opposed to the Neutrik ones that I would normally use. This is because the clutch style strain relief on the neutrik ones would have got in the way. You can also see that I took the rubber strain relief boot off to make the LED fit. If you are using a tri-colour LED it should fit nicely through the hole where the wire would normally go in the boot.
There are very few components to fit here, so just make sure you don't get any of the leads shorting out to the case of the XLR, or to each other when you pop it all back together. You can use a bit of heat shrink sleeving or insulation tape if its going to be a tight fit. Once I wired it all up and put it back into the housing I used some hot glue to keep the LEDs in place.