I have done it Boxcar. Was it easy? It was for me, but I think it depends on the specific set. I got a set of "warm white LED" lights from Target. Each light on the string has a plastic, candle-shaped cone casing that you can take off. Then you pull the LED, along with its socket, out of the base. Then you have to bend the wire leads from the LED downward to straighten them out, which enables the LED to slide straight up out of the socket.
The strange part is that some of them have a teensy, tiny resistor inline with one of the leads, and others do not. I've found it doesn't seem to matter though, as all the LEDs - whether they have the built-in resistor or not - seem to react to supply voltage the same. I am careful not to exceed approximately 3.3 volts DC, and they work very well this way.
How do you plan to power your LEDs? Most (white and "warm" white) LEDs operate on approximately 3.0 to 3.5 volts DC, so you will need to figure out how to supply this kind of voltage.
Let us know if you want to explore that further.