SCOTT018:
Unless the LED will actually be visible the size really doesn't matter. If the lights will be visible such as on an outside wall over a doorway you can get SMD (Surface Mount Device) LEDs that are referred to as "0402" meaning that they are .040" by .020". You can use magnet wire which can be easily disguised. Be warned, these things are tiny! You will need a magnifier to see them, and if you put one down on your work bench it will often disappear before your eyes. The next size up is "0603" which are more manageable but would be massive in N scale.
If I can suggest, there are a couple of things that you should be aware of regarding lighting inside your buildings. One issue is colour (Canadian spelling eh!). 'White' LEDs actually come in a range of colours. Some are bluish white, others are warmer white and some are almost yellow. Which is best depends on the type of light fixture you are trying to model. The blue white LEDs mimic early florescent bulbs quite nicely but would not look right in any building that would be lit by incandescent bulbs. I have tinted some 'white' LEDs with paint to make them warmer and it worked OK, but if the LEDs are quite blue they don't tint very well.
Another thing to keep in mind is that most LEDs are quite directional in the way they project the light. They tend to focus the light in front of the bulb and not too much comes out the sides. For interior lighting you want to light to disperse so that the windows look evenly lit. There are a couple of ways to do this. You can buy LEDs with a concave top (I can't think of the proper term - somebody please help me out), or you can lightly sand the surface of the LED.
I buy my general purpose LEDs from eBay. There are some real bargains to be had if you are willing to take the risk that the colour may be off a bit, i.e. 'warm white' often isn't warm at all. They come from China in most cases so there is also the risk that they may not last as long as they should. I would note that if I am buying LEDs to use with a specific circuit like a crossing signal, I will buy the LEDs from the signal circuit manufacturer. I learned that one the hard way. Thank goodness that Tim at Ngineering is very forgiving!
Don't forget that you will need a resistor wired in series with each LED.
One last point - you may find that you will have to install more LEDs than the number of incandescent bulbs you originally used if the original bulbs were larger in size, like a flashlight bulb for example. So, don't button things up until you test your work.
Dave
I'm just a dude with a bad back having a lot of fun with model trains, and finally building a layout!
Going to convert over to LEDs for building lights for my N scale layout any opinion on what size works best 3mm 5mm etc. Any hints on use would be ok also.