if I connect an LED without a resistor then it will blow? but this RF module won't.
the module has a high enough internal resistance whereas an LED doesn't.
Not quite, the module is an electronic device designed to be powered by 5V, so that is what you give it. It will take as much power as you need.
An LED is a component that is driven, in this case it is a non linear component, that is ohm's law does not apply, a plot of current against voltage is not a straight line.
See :- http://www.thebox.myzen.co.uk/Tutorial/LEDs.html
but how do I know?
Has it got a terminal on it saying 5V ( or at least in the data sheet it says 5V ) - then you know you can detect it directly to 5V.
If it is a component it might have a voltage rating like a motor, or it might have a current rating. If it has a current rating then you arrange the voltage such that the correct current flows. Note a rating is what it can stand, a rating is not the same as saying this is how much it draws.