I can't answer your Scangauge questions but If I were doing a project like this personally I would be soldering and heat shrinking everything. However there are definitely other ways to get it done. In any case the easiest way would be to get an Led that is already prewired and setup for automotive voltage. You can get these prewired LEDs fairly cheap. For example I did a quick search on Amazon and you can get a 10pk of prewired leds for automotive use for like $6 (Qty 10- LED Lights- 3mm pre wired 12 volt leds- 12V Red : Amazon.com : Automotive
). Then all you would need to do is use some fairly small gauge wire 18~22 and either run both positive and negative from the LED or just the positive to the E-fan. Then just splice the wires from the LED right into the efan wires. Positive to positive negative to negative, or if you only ran a positive wire to the fan, then just ground the LED negative wire somewhere under the dash. This is usually where I would solder in the wire from the LED but you can also just use something like a 3M T-Tap, which can just be crimped onto the Stock E-Fan wire and then you can use a normal spade connector to connect the LED wire.
The hardest part of the whole thing will probably just be getting the wires from the engine compartment to the interior of the car cleanly. I can't speak for your paticular car but usually the easiset way is to use an existing gromet and just go through there. but if it becomes necessary to make your own hole for the wires make sure you get a small rubber grommet to protect the wires.