If you only want to light one of the colours at a time, you can get away with a single resistor on the common pin, although you won't get the ideal current for all of the 3 LEDs because, as Crossroads says, they may need different resistors. If you use a single resistor and try to light more than one LED at the same time, then the LED with the lower voltage drop is likely to take all the current, so the other one(s) won't light up.