This guy might be doing what you are looking for: http://casemodgod.com/ModGuides/MolexLEDs/psu_molex_led.htm . It just depends as to whether the LED is rated to the same power provided by the MOLEX connector, otherwise you would have to add resistors or other circuitry.
And if you were to attempt it yourself it would probably be helpful to have some low level knowledge of electronics, I definitely would not try this with my PSU plugged into anything else just in case.
This guy might be doing what you are looking for: http://casemodgod.com/ModGuides/MolexLEDs/psu_molex_led.htm . It just depends as to whether the LED is rated to the same power provided by the MOLEX connector, otherwise you would have to add resistors or other circuitry.
And if you were to attempt it yourself it would probably be helpful to have some low level knowledge of electronics, I definitely would not try this with my PSU plugged into anything else just in case.