Squee: The resistor you need depends on the voltage drop of the LED ("Vf" value) and the supply voltage you plan to use. Here is a page that should help you out: http://scriptasylum.com/rc_speed/_led.html
To have the LED on when the switch is on, you'd have the + of the LED/resistor go to whatever terminal the load is tied to.
BP: I really have no idea. Haven't done anything with HID, nor do I know what they are like. Sorry man.