Put resistors before or after every led. I think there is a tool in this web for calculating the proper resistor. Anyhow look at the datasheet of each led cause each color works at different voltage. Most of the leds work fine with 20mA of current going through them. So if you are attaching to the psp battery which is 3.6 volts you have to do the following calculation:
3.6 = 20mA*Resistor + LEDvoltage;
for example if your led is green and we suppose that it works fine with 2.5V (read the datasheet):
3.6=20mA*Resistor + 2.5;
1.1=20mA*Resistor;
Resistor = 0.055*1000 = 55ohm;
Also if you are going to work with common resistors you won't have to do the following calculation but if you are going to use smd resistors you have to be sure that the resistor is capable to drive away enough power. The power dissipation it's going to drive away the resistor can be calculated as:
P=V*I; so V was 1.1 volts and I was 20mA;
P=22/1000=0.022W so you need a resistor capable to drive away that power.
I think that typical power dissipation for smd resistor are (depending on the size):
size 1206 -> 1/4 W
size 0805 -> 1/8 W
size 0402 -> 1/16 W
but check it cause i am not sure;