Will a 6 volt LED kill a 9 volt battery quickly?
The 6-Volt Minature Lamp you've linked from Radio Shack isn't a LED, it's a small incandescent light bulb. It lists the current draw as 25mA and a 9V PP3 alkaline battery normally has a capacity of around 500mAh so I'd expect it to last around 500 / 25 = 20 hours. It will be less for cheaper zinc carbon batteries.

The other issue is that it's a 6V bulb so driving it from 9V isn't recommend and ways of dropping voltage (called a voltage regulator) tend to either be inefficient or a bit on the complex side for something like this. You'd probably be better finding a LED and suitable current limit resistor. A LED will probably be bright enough at 5mA so last five times longer.