RGB LED Question

Today, I received the first RGB LED I've ever seen. I've got it up and running. My question is, If i take a closer look, I'm able to see all the three colors individually at the same time, is this common with RGB LED's? or is this supposed to invisible and only the mixed colors visible? I picked up 100 common anode RGB LEDS on ebay.

That's the way it is.

Sandpaper helps if you can't live with it.

Yes you always need a diffuser with an RGB LED. A sheet of paper works well as well as thin polystyrene sheets. I used thick polystyrene sheet and drilled part way through in this project:- http://www.youtube.com/watch?v=ehy9xgl4YCs

Perception of vision or colour is your brain’s interpretation of what the eye sees.
If you look closely at an old style TV set with a trinitron or shadow-mask tube you’ll also see the three primary colours which when viewed at a sensible distance will make up the correct balanced colour.
RGB LEDs are three separate units combined in a single capsule, not some magic piece of crystal that generates a single colour from a triple input.

you should try getting some SMD leds as they have great color mixing and you won't need a diffuser, they are also last much longer and way brighter but they will be hard to solder so you are better off getting a strip and cutting them out and soldering on to the strip backing or just use them as it on the strip.

Here is a video of a strip of 5060 leds without any lens or diffuser http://www.youtube.com/watch?v=sgLRfv3eLcs