Easy, just connect each LED in series with an appropriate resistor and connect them all to some batteries via a switch.
Use the following formula to calculate the required series resistor value:
[latex] R = \frac {V-Vf}{If}[/latex]
For example, the blue and which LEDs will have a typical forward voltage drop of 3.5V, a forward current of 10mA to both prolong the life of the batteries and the LEDs and four NiMH AA batteries in series, a total voltage of 4.8V.
V = 4.8V
Vf = 3.5V
If = 10mA = 0.01A
[latex] R = \frac{V-Vf}{If} = \frac{4.8-3.5}{0.01} = \frac{1.3}{0.01} =130 \Omega [/latex]
As the LEDs will be fine with a bit more than 10mA, you can easily use 120Ω, the nearest E12 standard value.