looks like its going to be a fun project.
Are you comfortable soldering wires and LED together? You can go on youtube for tutorials to do it.
As for the lights themselves, depending on what Voltage you are using, and what materials the diorama are using, you will have to plan accordingly.
Since you will have multiple LEDs, you will need to wire them in a parallel circuit.
here's a calculator on what you will need to achieve that
http://led.linear1.org/led.wiz/
and if you don't know the difference between parallel or series, just check out you tube.
As for supplies, I generally buy my electronic stuff on ebay. Its the cheapest, but you will have to wait due to shipping (most of the stuff is from Asia). You could also go to places like the source or radio shack to get those supplies, and possible advice.
here's a WIP in what I'm working on for my own diorama (sorry to hi jack your thread)
Just need to paint it up, and add the window details
Lights on
Lights off
Switch
if you have any other questions, you can always PM me