It seems that a lot of people have decided to buy a Thinkpad X61s like many Igalians. Good news for us:

sergio@qi:~$ uname -a
Linux qi 2.6.26 #1 SMP PREEMPT Wed Jul 16 17:34:38 CEST 2008 i686 GNU/Linux

iwl4965 LEDs working now. Thank you kernel hackers!

PS: BTW the kernel option is

Device Drivers->
Network Device Support ->
Wireless LAN ->
Intel Wireles WiFi 4965 AGN ->
Enable LEDS features in iwl4965 driver