Replacing the LEDs in the Wireless headset is just a matter of getting 4 x 0603 SMT ones and swapping them out. That of course means soldering with really small surface mount LEDs, but if you've done a controller or seen that done they're the same size. Getting the thing apart is the worst part of the whole mess, after that it's just soldering with tiny parts.
You'll also only be able to use Red or Amber (Yellow) for the new colors. The only way to get Blue or White to work in there is to tear the body of the thing apart and voltage mod it so it can drive those colors.
Both the disassembly and getting Blue/White LEDs to work tutorials are in the tutorials section, where ya should have started your quest.