I got VERY lucky and had a customer who gave me about 150 of these: (5mm with metal screw-on washer-reinforced bezels). They work best with about a 680R resistor (CLR)
These are the best because the hole can be too big by a few MMs and it still looks fine. They screw into place and the LED is protected from feet.
One problem with putting the LED in a hole by the footswitch is that the player can push it out when switching the pedal. A drawback of using glue to keep in it the hole is that the glue can leak onto the front side of the enclosure and even if it is transparent it still has gloss and looks bad.
I also have a lot of 3mm LEDs and the black plastic snap-in bezels and I just superglue the LEds into them about five at a time in advance (so I always have a few cured and ready to load). Before I got the free ones this worked pretty well.