There are tons of threads about chaning the LED's in the climate control on here and on SF.
It is rather simple, pull the unit apart and then you have to change the LEDs on two circuit cards by desoldering and soldering in new ones. One board is the buttons, the other is for the indicator lights above the buttons. Some people recomend to change the resistor values but you don't have to, even for most blue LEDs. There are also replacement 7 segment displays for the temperature read out.
Again there are several threads that go into more detail with pictures and part numbers for the LEDs and displays, try changing you search query.
I did blue buttons with red indicator lights and I have not changed the temp display. The blue is pretty bright and may be distracting at night for some people. Mine is relocated into the center console so that is not an issue for me.
Board with the buttons:
Board with the indicator lights:
In the daylight:
In the dark: