How to find places to add power indicator light in simple DC circuits?
A "power on" light would normally be connected between the positive supply (after the power switch, if any) and ground.

If you use an LED for the light, you must connect a resistor in series with the LED.  The resistor value is not critical, but if your device is powereed by a battery, you probably want to minimize the power consumed by the light.  You might start with a 1.5 K (1500 Ohm) resistor - a higher value will reduce the current, and dim the LED...