Blueflame:
You will need to snip the leads on the LED a bit to make it fit. The bulb that is in there has similar leads and is just held in by friction. It should be very apparent how the holder works once you pop open the light cover.
I used a 3.6 volt Radio Shack (low quality) led and it lights up fine. The beam pattern is odd but I was mainly looking for a longer run time. Better LEDs are available online if you are looking for something better.
Chris