Dorcy sells a couple of led pr bulbs. They are the following
Dorcy 41-1643 30 Lumen 3 Volt LED Replacement Bulb
http://www.amazon.com/dp/B003MP8MGY/?tag=cpf0b6-20
Dorcy 41-1644 40 Lumen 4.5 to 6 Volt LED Replacement Bulb
http://www.amazon.com/dp/B003MP8MGO/?tag=cpf0b6-20
Here is a CPF thread about these.
http://www.candlepowerforums.com/vb/showthread.php?288283-Dorcy-LED-Drop-in
They used to be $4 but seem to have increased to 5 and change at Amazon. However the same bulbs are now being made by Rayovac and sold at Walmart for about $4.
Rayovac 6V LED Replacement Bulb, 4 Cell $3.88
http://www.walmart.com/ip/Rayovac-4V6VLED-1T-Rayovac-6V-LED-Replacement-Bulb-4-Cell/22086117
Rayovac 3V LED Replacement Bulb, 2 Cell $3.88
http://www.walmart.com/ip/Rayovac-3VLED-1T-Rayovac-3V-LED-Replacement-Bulb-2-Cell/22086116
Just make sure you get the right bulb. 4AA batteries usually means 6v to the bulb. If you put a 2 cell bulb in there and its really 6V you'll fry the bulb.
These are all the same size as regular bulbs so there won't be any problems with fitting them in.