I made this project over at TechShop (http://techshop.ws/).
Step 1: Materials
List of materials:
1 5mm (or larger) LED
1 ice cube tray- I used this one specifically because of its shape and the rubber bottom that allows you to easily poke the LED out, but any old ice cube tray will work if you're willing to use a knife or similarly small object to pry the glue out.
Hot glue/hot glue gun
1 X-Acto knife
1 paper towel
Step 2: Preparing the ice cube tray
I make sure to use an extremely liberal amount of corn oil; too little and you might find yourself in trouble. Again, speaking from experience.