i think the fan would have to turn off as well, and its really not that hard... all the parts you can get from a hardware store, including some wire, electrical tape, and a switch... there connected via 3-pin or 4-pin molex?
If the LEDs are in parallel with the fan just break the connection between any 2 LEDs and fit a single pole single throw (SPST) switch in.
If the LEDs are in series with the fan, you will need a single pole double throw (SPDT):
Connect the common to where one of the wires comes from the mobo/molex (on the LED side of the loop), and connect one of the other connections to where you just broke the circuit, and the other to the point between the LEDs and the fan.
I have a similar question: I have 3 200mm case fans with switchable leds and I want to connect them all to the one switch on my case (CoolerMaster HAF 922). I'm a total noob, just built my first system. Please advise.