I bought LEDs from this ebay auction:
ebay.com link: itm
To remove the LEDs from the plastic case all you need to do is straighten the contact pins and the LED section slides right out. They're made a bit different than the ones in the PDF, with only one surface mount resistor mounted in the center. The leads are labeled with + and - so just make sure you solder the positive leads to the pads on the same side as the header wires.
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One thing to be careful about is that the legs of the LEDs like to snap off when bending them over. For the few that broke off I just bent them with small pliers, then resoldered them.
I didn't have the 26 gauge wire recommended in the PDF, so I used 22 gauge. I won't know if the additional thickness is a problem until I get my color DMD panel.
One other question I had with the PDF is that it says to use 24" long wires for the extensions. Because I bent the extensions to one side, as shown, after cutting the ends flush to attach the new header the extension wasn't quite 24" in length anymore. I won't know if the extension is too short until I get the Color DMD.
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