I ended up buying the 3mm blue LED with 10" leads off ebay. It came with a resistor built in to the positive lead, presumably to allow it to handle 12 volts without frying. I began the mod by taking the original burned-out bulb out of the black plastic holder, and then used a drill bit to create a larger hole through the body of the holder for the LED wires. I put the LED in the holder with the head sticking out the top, just like in the picture.
My next task was to figure out how to wire up the LED. I figured it would be too difficult to rig the wires the same way as the original bulb, so I probed around the headlight switch harness with a volt meter and found a two wires (possibly for the parking lights) that showed zero voltage with the headlights off, but 12 volts with them on. I disassembled the harness to get at the crimped connectors, and then soldered my new LED leads onto those connectors. (I used the brown wire for the positive lead, the black wire for negative)
I installed the LED/holder in the switch assembly and snapped the truck harness connector back in place. I turned the parking lights on, and there it was....my new Blue LED switch illumination shining bright! Now I have to put the dash back together. (I'm also adding a tachometer instrument cluster from a 95 explorer as well as blue inverted cone LED's for it)
In doing this mod, I ended up changing the way the switch illumination works from stock. Ford engineered the illumination light to be on at all times, or at least when the lights were off. I'm assuming this is to aid the driver in locating the switch when driving at dusk. This is also why everyone's bulb has been burned out for years and years. So with my mod, the LED is on only when the parking/headlights are on. Seems to make more sense I guess.
I'll add a picture soon of what I did I case anyone want a bit of visual reference.