The hole in a Lego brick is 4.8mm and a larger LED is 5mm, but I have managed to put them in the hole before now. That is not to say that all will fit, 0.2mm is the kind of thing you could reem off the brick with a simple drill if you don't mind adapting the brick.
There are many kits and hacks out there. It all depends on what you are wanting to do as to what is best. I could not recommend the best options. I don't even know all the options.
It might be worth looking at the Brick Alley Lego user group. They are a friendly bunch and will have a lot of knowledge and experience of lighting up Lego. There is an event coming up in the Discovery Museum, but I think that will have sold out by now.
All the best,
Alistair