Changing the fuse in LED Christmas lights is a fairly simple process. The first step is to locate the fuse box, which is usually located in the back of the LED string. Once you have located the fuse box, you will need to remove the fuse cover and pull out the old fuse. Next, you will need to insert a new fuse of the same size and amperage. Finally, you will need to replace the fuse cover and turn on the lights to see if they are working properly. If the lights are not working, you may need to check for any loose connections or replace the entire string of lights.