If I were to make an LED fan, I would use a clear fan, probably one that already had LED's in it and remove them, so you would not need to drill holes. Many places like Directron and Xoxide have sales on them regularly so you should be able to pick them up for cheap.
I would try to get (4) 3mm LED's that are about 3v and run them in series and attach them to the 12v lead. That way you won't have to use a resistor. You could use a little hot glue or super glue to secure the LED's in place. I would run tape around the outside of the fan to tidy up the wiring. If you would like, I could try to post a drawing of the wiring schematic, if you have a hard time understanding my ramblings.
I have never done this, but I have been thinking about for a little while. If anyone notices anything I've said that's out of place, or incorrect, please post.