The Step Switch Part assembly uses uses eight GPIO pins on the Pico -- four to read the switches, and four to drive the LEDs.
The Fritzing diagram above show the connections, you'll use a gridded proto board to build it securely.
Switches in Board
Press the four switches into the proto board as shown, being careful not to bend any legs. Note there are two plastic feet that also fit in holes in the PCB.
Solder the pins to the board. Later you'll add thin wires to directly connect to the Pico.
Next, solder in two rows of header sockets for the Pico.
If the Pico came without header pins attached, solder those in now too.
Solder the Circuit
Following the Fritzing diagra, solder the circuit. The photo below shows a false color overlay to make it easier to see each run of the circuit.
Start by running a ground rail wire across the switch common pins, and connect it to Pico GND. In the overlay this is the purple run.
Create short runs from the ground rail wire to the anode (negative) led of each LED. These are also purple in the overlay.
Next, run the cathode (positive) leg of each LED to their respective Pico pins via 1KΩ resistors. They are shown below with the blue overlay.
Finally, run the N.O. pin of each switch to its respective pin on the Pico. These are shown in yellow below.
Use M2 screws and standoffs to connect a proto PCB as a bottom plate, or simply use some rubber adhesive feet.
Next you'll code the Step Switch Pico and use it.