Depending on your application, you might be able to use the LEDs directly, connecting them to the GPIOs (with a suitable resistor). You can do it two ways:
1. using the i/o pin as a sink
2. using i/o pin as a source.
For the first option, use the VCC pin on the GPIOs as your source, and the sink should be the I/O pin. In this case, the LED would light if your I/O is low, and turn off when your I/O is high.
The second option is just to use your I/O pin as the source with LED and resistor connected to ground.
You can then control the brightness of the LED with a PWM signal.