It really depends on how you will be wiring your LEDs. If you are wiring the LEDS in some series/parallel combination then having them all blink on and off is the same software as blinking a single LED. If you wish to control which LEDs blink at different times then you have to assign LEDs to different digital output pins and command them with software. An important thing when controlling LEDs is to be sure you have some form of current limiting so that you don't draw to much current from a output pin. This is usually done with resistor(s).
If you show us your wiring it will be more clear what you are trying to accomplish.
Lefty