Your idea of an inline connector is good, I never thought about it!
Indeed my nano does not have a DC power jack, I thought that when you said that I could solder one in my arduino but after looking in the internet it's no possible. So the diode will be the only good alternative which is safe and easy to use.
But just a final question: you said that when I power my arduino using USB it provides 5v in th VIN pin? Shouldnt it be a little less cause there are some circuitry between the 5v pin and the VIN pin which should decrease the 5v correct? And also, if when I power my arduino using USB the vin has only 5v, my LED should not power up right? But it did!