OK so you wanna do one of the styles of the Ring Of Light
Here is a Tut thanks to 4dP
http://www.youtube.com/watch?v=3fsh7DdoELoThe door is cut out and the plastic is from probably a UMD case the box that is comes in.
And those leds aren't exactly wrong just not very usable in the PSP as there isn't much room you are gonna want to go with a SMD Leds (Surface Mount Device). And as you will probly find out the most Used SMD Led is the 603 led.
Ill link you to a place that tells you where to find all the things needed for this type of modding.
https://www.acidmods.com/forum/index.php?topic=6961.0Its says the best place for leds are Ebay on there and it is one of the best some others are-
USA
Maybe even radioshack In-store but i never seem to find any there
www.mouser.comhttp://wiredinput.com/ShopUSA/index.php?cPath=21_31http://myworld.ebay.com/jeledhk/http://www.phenoptix.co.uk/SMD_LEDs_s/31.htmUK-
Ebay
Maplins- Heard it is bad but im in USA so idk
Not sure if you have irons or such but
For soldering iron you will want a 15-20 watt iron
60/40 Rosin Core Solder
Rosin Flux
30 gauge Kynar or magnetic wire
Anything i fogot add
But i hope this is good help
BTW WELCOME TO AM!!!
Enjoy your stay and If you need any help just ask
EDIT- Added a good place on ebay to buy leds and another store