If you use the lm386 for the LEDs, you can turn them on and off with the hold switch simply by using the hold switch as the power supply for the lm. If you want to turn the direct contact ones on and off, you have to add another small switch in there somewhere.
The lights that come on with the hold switch are not as cool as the soundreactive ones, butthey still give the psp some flair. Still better then no lights at all.
The sound reactive ones are much more entertaining to look at and are harder to build. They will make you look like an even better modder. To have them always on though may be bad if you ever come across a situation when you wish you could turn them off. Also when using the direct- connect way, the lights will always be emitting a dim but constant glow even with no music or sound.