Get yourself over to North American Subaru Impreza Owners Club
They have some "how to's" in their tech section IIRC

 

My mate bought led's from flee bay and just chose his colour *blue* and it worked out very nice indeed.
he sent the seller the year and model of his scooby and was sent the relevent led's, plug and play.

FULL BLUE LED DASH/SPEEDO KIT SUBARU IMPREZA 00+ WRX ST on eBay, also Dial, Dash Switch Custom'n, Interior Styling, Car Tuning Styling, Cars, Parts Vehicles (end time 03-Apr-09 11:53:33 BST)

 

I have the same car and wanted to do the same thing,and was told that changing the bulbs was not possible as you would break the arms in the dials to get to the bulbs. You can change the bulbs behind the stereo and heater controls though. Good luck and let me know if this does work please. regards Hammer man....

 

I had my dash out only last week. The bulbs are simple to change and I suspect you could even change the colours of some of the warning lights if you wanted.

The bulbs are accessed from the rear of the dash cluster so no reason to remove the fascia and risk damaging the arms. I changed the dials and still haven't damaged any arms.

Dan, if you're worried drop me a PM, I'm only up the road in Bushey Heath so I can help you out

 

April mate, when I re-tax and insure the car