LED's typically need around 2.2vdc...so, depending on the power transformer ratings, you might be able to borrow some voltage, and rectify & filter to run them. If there's not enough current available from the main transformer, you could always add a separate small transformer, rectifier, filter, & dropping resistor to power them.
I'm running a 10mm led for a pilot light; it's an ultra bright blue. It has nice depth compared to an incandescent. I ran it off' one heater leg, with a 220R in line to limit current. It's plenty bright.