I did this with my Celica. De-Soldered all the LED's and Re-Soldered new ones in and changed the LCD colour
You'll find you have two problems...
Firstly, the illumination isn't just done by the bulbs, it's the dials as well. So if you want to change the colour you'll need to change the dials too.
Secondly, you need to be very careful when soldering as the LED's will be tiny, the amount of solder needed is small and the damage that can be done by heating other parts of the circuit board is big.
HOWEVER! Don't let that put you off. If you take your time it's not a bad job (at least, it wasn't on the Celica and I can't see the Leon being any different).
You'll need to work out what bulbs do what first, as some of them will need to stay a certain colour to highlight warning lights correctly. The best thing to do is take the dash and instrument cluster apart, and then plug the PCB back into the wiring and turn the lights on. This will show you where the LED's are and you can then match them to the dials to see what goes where. Work out what needs to be changed, make a note of it and off you go.
The other thing to bear in mind is resetting the needles on the dials. This is a damn tricky job as it's not just as easy as popping them on and off, as the moment you take a needle off, the pin it attaches to moves out of position. Get it wrong and your speedo, tachometer, fuel gauge and temperature gauge will be worthless.
I'm sure somebody else has done it to a Golf or A3 though, so a search through other forums might chuck up some useful information