Sorry, I thought we were still talking about the cab light.
The headlight will be "interesting" to convert to LED. I've done a bunch of them as that's one of the features of the Super-Chuffer upgrade. First off, you have to take the headlight off the pilot, that involves, of course, removing the pilot first. That doesn't look like the Premier, is that the RailKing model? Here's a Premier Y3B, the Y6B pilot and light should look the same.
You have to remove the front headlight lens. Then I use a 3528 SMT led and solder some fine wires to it, insulate it with Liquid Tape, and glue it inside the light aligned with the headlight opening. Then I reassemble the headlight, mount it on the pilot, and put the pilot back on.