I am trying to add LEDs to a power supply to light up when it comes on I am wondering how to do this and how it will affect the voltage output for the power supply itself?
First, as shown your supply will not work. Your transformer secondary needs the center tap grounded.
Second, with the center tap grounded, you'll get less ripple if you tie the two diode anodes together.
Third, don't use 1N4148s as rectifiers (although that may just be the default part number in the schematic entry. Be aware that you can edit this - just double-click on the part and edit as you wish.)
Fourth, the connection point for your LEDs will depend on exactly what you want to show. If all you want to show is that part of the circuit is live, one of the two input capacitors (C1 or C2) is a good place to start. Of course, if either of the regulators fails, or you've shorted an output, your LEDs won't reflect that fact.
Fifth, depending on just how much load current you're drawing, your capacitor voltage will be in the range of 12 to 17 volts. You'll need to increase your LED current limiting resistor to keep the LED current appropriate. I can't tell you a value, since LEDs can drop anywhere from 1.5 to 3.5 volts each, depending on what kind you use.
By the same token, if you're using white LEDs with a 3.5 volt drop, you can't use 3 of them to display either of your regulated outputs, since your string of LEDs will need at least 10.5 volts to light up.
A Typical single led string with a current of 20mA would likely not affect the regulated circuit in any important manner. A 24V 2A transformer will provide enough for both. Just ensure you use the correct resistor for 20mA at 24 Volts