LED on MCLR Pin

I'm designing a 18F8722 Controller board, and with that many pins means I need lots of LEDs on it (obviously). I want to put a LED on the MCLR pin so it indicates when the board is being programmed or there is activity on the MCLR pin. Currently I have just the 10K Pullup and a switch that when pressed connects MCLR to ground. However, how do I add an LED to the circuit? Would I sink or Source the LED via the MCLR pin?

RG5/MCLR can only be an input. As it needs a pull-up in many configurations, I would put an LED (with a suitable series resistor) in parallel with the pull up.

Why use a bunch of LEDs?

You only need a few (4 or less is adquedt.)
Just use female headers then plug in your LEDs as needed.
Not sure pin count of 8722 but design board as needed.