As mentioned before you can mount the LEDs during the frame assembly step before you mount the Z linear rails. I chose to wait until later in the build to prevent damage.

It's easiest if you remove the bed and the bed frame together. Remove the 4x M5 screw holding the 2020 bed frame to the Z mounts.

You can choose to remove the lead screws to make it easier to gain access to the M3x8 screws mounting the Z linear rails.

Insert the LED strips into the LED Diffusers

Loosen all M3x8 screws enough to where you can slide the wire behind the linear rail so it rests in the channel.

Snap in the LED Diffusers.

Tighten the Z linear rails using the same method in Step 10 of Frame Assembly