Unfortunately the Muse can't read thoughts so thinking 'turn on LED' won't work.
But you can influence which brain wave is more dominant, so for instance you can raise the alpha wave while lowering the other waves.
But the best way to create a signal is to blink. That creates a similar spike in the consolidated signal, using EEG 101 app, every time you blink.
I'm not sure how to feed that signal to the LED app though. But it may be a start.
Although personally I think it is cheating (e.g. not using brain waves but muscle power)
you could also use the measurements from the ACCELEROMETER and GYRO values from the headband using Muse Monitor to control the LED app, by either blinking or raising your eyebrows up and down.