Wrap the bulb in a folded paper towel and use pliers to break the glass. Clean the remaining glass from the metal socket with a screwdriver. Unsolder the filaments from the centre and side of the metal base and remove them with the pliers. I've used successfully the red LED that comes with promotional key-chain lights. While it's recommended that you protect the LED from the heat of soldering, I didn't experience any difficulty with heat damage.
Memory fails as to the resistance required.