I just completed the same thing using two colors of a tri-color LED - a single LED will be one solder joint easier. Let me see if I can describe it well enough without a picture...
You'll need a DPDT footswitch. One half will control the octave mod. The other half will control the new LED. Decide which state (octave on or off) you want to indicate with the LED turned on. The pole on the switch that has that part of the mod will be on the same end of the DPDT switch.
Connect 9vdc to the center pole of the 2nd half of the switch. Connect the anode of the new LED to the pole that is connected to that center pole when the effect is switched in (or out as the case may be). [If you want to get fancy, you can connect the anode of a different color LED to the opposite pole of the switch so it will light when the other is off. Connect the cathode to the other LED's cathode]
Connect the cathode of the LED to a resistor (4.7K down to 1K - your choice of brightness vs. battery drain) to limit the current to the LED so it won't burn out. Connect the other end of the resistor to the same lug on the pedal's 3pdt footswitch that has the wire coming from the LED wire connection on the wire-edge of the circuit board. This way, when the pedal is "off", your mod LED will be off, too - no matter which position your mod footswitch is in.
There are a couple of other ways to wire this. You could have the switch on the anode side of the LED. You could have the resistor anywhere along the LED circuit path. This is just the way I did it.
Basically you want: +9vdc ------- switch ---- LED (->|--) ------- resistor ------ gnd (-9vdc) and the order of switch,LED,resistor is non-critical. However you decide to connect that will probably work just fine. As long as you have the current limiting resistor in place, you can't really hurt an LED with 9vdc, so experiment (and use an ohmmeter, if necessary, to figure out the switch) to decide what arrangement works for you.
Now that I did this, someone will drop in a simple picture that makes this irrelevant.