Yes, colored LEDs are possible. You would simply replace the LEDs in Brian's kit with the desired colors. Note that the ones to fit in the buttons are small ones, not the usual Radio Shack size. And the ones on the knob-board are tiny SMT diodes, I don't think you'll see those on the shelf at ratshack, either.

The problem with colored LEDs is thus: It makes it hard to change colors. Remember, I had to desolder one of the button LEDs when I made a mistake in my installation, and let me tell you, it was a PAIN.

Whereas, if you use white LEDs, you can change button colors as easily as you change faceplates. You have to buy an extra set of buttons, but I'll tell you, whatever Brian is charging for extra sets, it's worth it.