I haven't done the speedo itself but have swapped the orange LED's for blue on the window switches, lock light and rear window de-mister above the head unit.
cheers, what did you do order some LEDs off eBay and then just rip the dash apart until you found what you were looking for?!
Pull the grab handles off of the door and unplug the window switches; pop the covers off and replace the orange LED with a shiny blue one (you can get 50 off of eBay for £3ish)
Rinse and repeat for the 2 above the head unit too
To replace the LED's i used wire cutters to just snip the tops off; then trimmed the legs of the new ones and soldered them on. Just make sure you get the polarity right first!!