In all my conversions, I always replace any bulbs with LEDs. Most decoders have the lighting outputs as 12v sinks (negative). This presents some problems when using LEDs- you have to drop the voltage and limit the current with a resistor. The CL2n3-g is a handy little device the size of a transistor that does this for you. No calculations or resistor values to worry with, just hook up your LEDs to one of these. It has a tiny microchip inside that dynamically limits the current to an LED. Really cool. This also allows you to wire several LEDs in series so running lights or number boards are easy to hook up. These can be ordered from places like digikey.com or mouser. I buy them in bags of 100 since I also use 12v out on my layout for building lighting. Here is a link: Digikey
One other tip for LEDs- after xmas or just in general, the $5 boxes of string lights at the dollar store or Walmart can give you hundreds of LEDs in various colors and shapes. Use one of these to drive them and 12v from a battery or solar setup and you can light up your buildings and such out on the layout.