Toggle Reset, then toggle Step a few times. The 6502 respects RDY during its internal reset sequence. It's ready when every address LED is lit except the two lowest bits, which means it's reading the reset vector at $FFFC.

Deposit $00 at $FFFC (low byte) and $02 at $FFFD (high byte), so the program starts at $0200. The first 512 bytes are zero page and the stack.

By default, Write stores the data switches at the address set on the address switches.

If you hold the Address Bus switch at 6502 while toggling Write, it stores the data switches at whatever address the 6502 is currently on.

With the second method you can step the CPU and save the program in one pass. Toggle Step to move to the next address, set the data switches to the next byte, hold 6502 and toggle Write, then repeat.

If you make a mistake, reset and start over. Your progress so far is already in RAM.

This program increments $0300, loads it and stores it to $0301 in a loop, so the data bus LEDs visibly count:

$0200  EE 00 03   INC $0300
$0203  AD 00 03   LDA $0300
$0206  8D 01 03   STA $0301
$0209  4C 00 02   JMP $0200

You could save a couple of cycles, but that's hardly the point: this way you can clearly see the data bus blinking as it runs.