You can make up a wiring harness really easily.
These housings & terminated wires work great.
Buy a bag of housings and wires, make up what you need.
Male terminated wires in a housing will plug right into female headers.
Solder LED to resistor to the other end of the wire.
Here's an example - wires in headers connecting a pro-mini to a custom board, with some loose ends ready to be attached to a DB9 connector.
The headers come in all sizes, pick some adjacent pins to plug into, or use 1x1 if you're spreading the pins used around a lot more.
