Using Eagle: How do I have separate parts in the schematic, but a single socket in the board?
What I would like on the pcb, is for each pair of switch+led to end in
something to which I can solder something

The simplest option is to redraw your schematic using the symbol and footprint for the pin header that you have indicated.
You are choosing to use a pin header and it's a pin header that is soldered to your PCB. In other words, the switches and the LEDs are NOT fundamentally part of the PCB assembly any more so, just use the pin header AND, if your schematic looks confusing symbolically, there is absolutely nothing stopping you from making a pin header symbol that looks like a switch and an LED combined coming out to four pins. It won't affect the footprint of course.