Julian's mad skills are spot on as a diagram, this is how i did it. Obviously you would have your power led + & -wires going to the button as well
I got my locking switch from maplin. I also got a momentary vandal switch from there too (for a different project), but it doesn't have illumination.
The second vandal switch you linked is still locking, so it won't work unfortunately. this is the sort you need,
http://www.frozencpu.com/products/6100/ele-273/Red_Illuminated_Vandal_Resistant_Momentary_Switch_-_22mm_-_Black_Housing_-_Ring_Illumination.html?tl=g52 and in this one's case, if you look at the pinout diagram, you would use the "NO" pin, for normally open (think of it like a joystick button) and the Led + & - pins respectively.
Also if you're not confident about soldering you could use this http://www.frozencpu.com/products/11094/ele-745/ModSmart_28mm_Vandal_Resistant_Switch_Wire_Harness_-_4_x_2-Pin_Power_Switch_and_LED_-_Wire-SWT-28.html?id=KicwkvoT#blank
you'll still have to solder in the key lock, but it will save some of the headache