Lighting LEDs from high current source
simulate this circuit &ndash; Schematic created using CircuitLab

Figure 1. LED in parallel with motor controller.


  I wanted to add few LEDs to circuit but I dont know how do I do it ? 


You wire LED's across the 5 V supply with a current limiting resistor in each. Typical LEDs require 5 to 20 mA to give a bright indication. The resistor needs to be sized to limit the current to the chosen value.


  Connecting LEDs parallel to other components will I think burst LEDs as current is too high from source. 


Very dramatic prose but it shows a misunderstanding of voltage and current. The battery presents 5 V to whatever (reasonable load) you connect to it. The current drawn depends on the resistance of the load. The power supply can deliver up to 5 A but it doesn't force 5 A through whatever you connect it to. As an analogy, your house is connected to an electricity grid capable of supplying millions of amps but when you switch on your light the grid doesn't force it all through your lamp. The lamp just takes what it need.


  All servos needs to powered on all the times too. Current drawn by servos are very dynamic.


All will be fine as long as you don't exceed 5 A total load.

Calculating resistor value

For standard LEDs you can figure on dropping about 2 V across the LED when passing 3 to 20 mA. (They're not linear and the actual voltage depends on the colour of the LED.) In your case that leaves 3 V to be dropped across the resistor. Let's make the maths easy by saying we want 10 mA through the resistor / LED. From Ohm's Law (\$ V = IR \$) we can calculater \$ R = \frac {V}{I} = \frac {3}{0.01} = 300~\Omega \$. Pick the nearest value that you've got (+/- 30%, say) and you should be fine.

For a more details see my answer to LED forward voltage - why does series resistor take excess voltage? (and thousands of other Q&amp;A posts on this site).