I will show a cheap option and a recommended option. The cheap option is not only less expensive but it is also much less fidlier. However, the downside of the cheap option is that you are likely to get bright-spots on the main dial area and the overall brightness will be less. These bright spots will be less noticable when using colour LEDs, but none they will be still be noticable. The cheap option still looks much better than the standard globes, especially a colour such as blue or red.
Main Dials
Standard globes: 5 x T6.5
Cheap replacement: 5 x T5 LEDs
Recommended replacement: 5 x T10 (4 LED) LEDs
If going for the cheap option, then along with the LEDs, buy 5 x T5 holders that go into the back of the dash, to replace the standard T6.5 ones, as the T5 LED will sit too loosely in the T6.5 holder. There will be no need for modifications if going for the cheaper option and the LEDs will plug straight in.
To use these LEDs you will need to remove all the plastic from both the top and base so you are left with just the bare LEDs.
The biggest issue behind the main dials is that of bright spots, the way to get around this is to use the T10 replacement that contains 4 LEDs. By bending each of the 4 LEDs to a 45 degree angle, the light is spread over a wider angle, providing a nice even light and eliminating bright spots.
The only issue with bending the LEDs to a 45 degree angle is that you won't be able to fit it through the globe hole in the dash

Climate Control
Standard globes: 4 x T5
Cheap replacement: 2 x T5 and 2 x T5 (Wide Angle) LEDs
Recommended replacement: 2 x T5 and 2 x T10 (Wide Angle) LEDs
To use these LEDs you will need to remove the plastic housing so just the LED and its legs are exposed. For the T10 Wide Angle LEDs, you will also need to trim the flange off the bottom of the LED.
Use the 2 x T5 to replace the two outer globes and the 2 x T10 (Wide Angle) to replace the two that light up the main aircon display. If you do not use Wide Angle LEDs in this area, you end up with two very bright spots. Even with the Wide Angle LEDs, you still get a little bright spot, but it is minor in comparison.
For each of the globes you will need to remove the globe from its holder by unwrapping its legs, then insert the LED's legs into the holder and bend them over.
Clock
Standard globes: 2 x T5
Replacement LEDs: 2 x T5
To use these LEDs you will need to remove the plastic housing so just the LED and its legs are exposed.
Remove the globe from its holder by unwrapping its legs, then insert the LED's legs into the holder and bend them over.
Voltmeter
Standard globes: 1 x T10
Replacement LEDs: 1 x T10 (Wide Angle)
This is straight forward without the need of modifying anything (yay!

Interior Lights (in the Mirror)
Standard globes: 2 x 39mm Festoon
Replacement LEDs: 2 x 39mm or 42mm Festoon
This also is a straight forward swap-over, however although the standard globes are 39mm, if you want to put coloured LEDs in, you may need to go for a 42mm replacement, as some colours aren't available in the 39mm size.
Cigarette Lighter Socket & Ash Tray
Standard globes: 2 x T5
Replacement LEDs: 2 x T5
For the cigarette lighter socket, it is a straight forward changeover, but for the ash tray you will need to bend the LED to a 90 degree to point up into the hole at the bottom of the ash tray, this is due to the narrow dispersement angle of the light from the LED.
What You'll Need
The following is for the "recommended replacement", for the cheap replacement eliminate the 5 x T10 (4 LED) and 2 of the T10 (Wide Angle) Leds but add 9 x T5 LEDs.
5 x T10 (4 LED)

6 x T5

3 x T10 (Wide Angle)

2 x 39mm or 42mm Festoon

Installation
Where the LED is replacing a wedge based globe, simply bend the legs of the LED around the connectors of the globe holder. This will mean bending the legs into an upside down "L" shape - i.e. bend it 90degrees at the bottom of the LED so the legs point out sideways and then bend them 90 degrees again about 5mm across so the rest of the leg points straight down. The LED should now sit on top of the wedge holder with the legs going down the sides.
For those globes which had the legs threaded through and locked down over the holder, simply remove the old globe and thread the LEDs legs through the same path.
Where to Buy
You can buy all these LEDs locally at various car shops or from overseas. I have found www.ultraleds.co.uk to be a good source. However, if buying from overseas it is probably worthwhile doing a group buy to keep the cost down. Lastly, two bits of advice 1) For those LEDs you need to strip the plastic off, buy just one first to make sure you can do it, as some are easier than others and some manufacturers have changed theirs to make it harder to do. 2) Always buy at least one extra LED of the ones you need to strip the plastic from, as chances are you'll break one of the legs

General Information
Unlike globes which generally emit light at a full 180 degrees, LEDs have a much narrower angle of dispersement. As a general rule, with LEDs, the brighter the light the narrower the angle and vice versa. With many parts of the FTO dash, it is necessary to either use wide angle LEDs or to use multiple LEDs bent at an angle to avoid bright spots. In the process this decreases the overall brightness of the light, however this is still comparable and in some cases brighter than the standard globes. Narrow angle LEDs generally have a round top and a dispesrement angle of around 10-30 degrees, normal LEDs also have a round top and an angle of around 30-50 degrees while wide angle LEDs normally have a flat or inverted top and have an angle of anything from around 60 to over 100 degrees.
Like any diode, a LED (Light Emitting Diode) will only let electricity flow in one direction, so if the LED doesn't work when you put it in, rotate it 180 degrees so the position of the two legs have been reversed and it should work, as the direction of the flow of electricity will also be reversed.