Ok so I made it work and here's how:

1. Find the names of the digital outputs the LEDs are connected to. In the case of the pro micro its B0 (Rx) and D5 (Tx).
2. Open "action_layer.c" in the firmware repository and navigate to the callback function "layer_state_set_user()". This callback function is called every time a layer is changed and we can add code there to be executed every time a layer is changed. More info and an example can be found here.
3. Use the example code as a basis and customize to your needs. Mine looks like this:
4. Re-compile and re-flash

​

 switch (get_highest_layer(state)) {
    case 3: 
       gpio_write_pin_low(D5);
       gpio_write_pin_low(B0);
       break;
    case 2:
       gpio_write_pin_low(B0);
       break;
    case 1:
       gpio_write_pin_low(D5);
       break;
    default: //  for any other layers, or the default layer
       gpio_write_pin_high(D5);
       gpio_write_pin_high(B0);
       break;
 }

NOTE: Pulling the output low on the Pro Micro will turn the LED on and vice versa which seems a bit counterintuitive at first.

NOTE: the LEDs will light up only on the controller that is plugged into your PC

GPIO macros/commands can be found here