I built an indicator out of various 3mm colored LEDs. The red, green, yellow, and blue LEDs were all diffused, but the white was clear. I sanded it with a fine sandpaper and it turned out great. Easy does it though, a little goes a long way. I canned my first attempt because I had sanded several flat spots into it. 
(Technically, I didn't can it, I just use it for breadboard projects where I don't care about the visual quality. Why waste a good LED?)
At the risk of being a FET pusher, try a small MOSFET instead. This is the perfect sort of application for them. You should use a small (100-200R will do fine) resistor for good measure, but the FET gate (analogous to the base of a BJT) has a high impedance, so there's no need to current limit or calculate gains. You'll need a logic level FET.
I use VN10LPs for moderate current (270mA) -- here's a link to Digikey: http://www.digikey.com/product-detail/en/VN10LP/VN10LP-ND/92610
If you're driving them all at a full 20mA, you'll need something with more gusto. Here's a ZVN4206A good for 600mA: http://www.digikey.com/product-detail/en/ZVN4206A/ZVN4206A-ND/92604
Those are both N-channel, so you'll be switching between the LED and ground. (Same as NPN.)