Easiest but not necessarily cheap
Marklin 72710 control box has position led's which receive feedback from contacts on the turnout mechanism. That means only turnouts which have the position contacts will work with the leds. You might be able to check with your Marklin dealer to find out exactly which switch mechanisms have the contacts as I'm not at all fluent in HO turnouts.
I once built a homebrewed electronic circuit for testing but it was a kludge which only a electronic geek could love so I won't steer you that way. If someone has an easy/cheap way, I'm also listening.
regards,
George

Edited by user 22 September 2015 06:45:10(UTC)  | Reason: non content changes

http://www.jornebanen.dk...porskifte/sporskifte.htm

This looks like an easy way to do this :) but...

Is it OK to use on/off swith and put continuous voltage on the turnout ? I thought only push-button was allowed ?

Whoops. I just used Google to translate the linked webpage. The instructions are to use a momentary switch. They state to use a 100nF capacitory between the + and - which will keep the LED lighted after the switch returns of the off position.

Here is the Google translation (I am sure a person could do better, but this works fine):

"You have to use a rocker switch with rest position only in the middle. Such a switch is typically referred to (on) -OFF- (on). I found some of www.elektronik-lavpris.dk for 15 crowns / item. (with purchase of 25).
I find it most logically if the LED is green and indicates the direction in which the train will run in the points (that is opposite to the direction the switch is).
The LEDs can be such. 3mm. They are available for less than one penny. Resistance must typically be about 1-2KOhm (they should select the switch position does not provide the room). It needs only one resistor when the two LEDs never light up at the same time.
Do not use the traction of the turnout. Use example. an adapter from a device you no longer use. The adapter should provide 15 to 18 volts DC, 1.5 amps. A Märklin traffo (not the old blue) can also be used. They deliver pulsating DC, so they noisy little more.
The power supply does not need to be able to draw as much as you typically do not change one track at a time.
One should put a 100nF (nano farad) capacitor between + and - at the end of the power supply. Coils (which sits in turnout drives) tend to send ultrashort high voltage back into the wires. The capacitor shorting the transient surges so that they do no harm. Incandescent bulbs do not care, they can easily cope with the short duration surges, but LEDs burn out immediately."

-Brandon

FWIW The72710 costs about $28.00 usd.
From the manual:
The 72710 Control box is designed for use with turnouts that have a double solenoid mechanism and end shut-off contacts (H0: 7549, 74490, 74991, “1“: 5625).

@ BrandonVA- I assume the led is held lit thru the turnout's end of travel switch that is closed, then thru that sides solenoid coil whose opposite end is connected to the yellow 0V. The linked schematic doesn't show the turnout part of the circuit but that's how the 0V can be connected to the led for as long as the selected end of travel switch is closed.
Hope that helps.

George

Edited by user 28 September 2015 00:41:50(UTC)  | Reason: Not specified