I've put them on all my boards as part of the design. It helps a lot to trace signals through a maze of boards.
RS232 is very simple. -9 to 12V resting, and +9 to +12V when sending. So you can do this with two leds and two resistors. You don't want to overload the RS232 (it might only be a Max232 sending), so use bigger resistors and high efficiency leds. Eg 4k7. So for -9V, use 0V=>4k7 resistor=> led anode=> led cathode=>-9V. Make that a green led. Then The same line for +9V => 4k7=> led anode=> led cathode=>0V.
So essentially you have one led that lights if the volts are positive and the other lights if they are negative. You could replace the two leds with a dual led that lights different colours when the current goes in different directions.
Build this circuit for pin 3 on the D9 (transmit from the PC).
Then repeat for pin 2 of the D9.
I can draw this up if the explanation doesn't make sense
If you want to go further and detect valid RS232 signals, that can be done with a Max232 chip and a picaxe chip. But it would only work for the baud rates that picaxe can detect.