Err, 5mm LED's are WAAAYY too big. Try 3mm or SMT ones.
Also, they are insanely overpriced. :P
Anyway... LM386 is an Op Amp (I think), which means you need a microphone... Unless you plan to use a built in one on your PSP? As for the 220R, I presume that's just to protect the LED, which means you will definitely need or, or you will blow your LEDs (Check the datasheets, max current ratings vary! D:!)
Also... Good luck putting that together without some form a circuit board. :P