Relays are really a waste for this. Slow, mechanical, clicky, power-hungry... Transistors do the same thing, cheaper, more reliable (no moving parts), and with less energy waste.
A simple N-channel FET would be ideal. V+ to LED+, LED- to appropriate resistor, resistor to FET drain, FET source to Gnd. Finally, FET gate to digital pin of your choice. Provided the digital pin outputs enough voltage (threshold is usually 2-4v) over the FET source voltage (Gnd), the transistor turns on, current flows through the LED. Easy as pie.
Only reason someone would choose to use relays in this case is that they're not comfortable with transistors. Expand your horizons!! 