I would say generally not a good idea, unless you're running an external BEC. You don't want to compromise your Rx power, or risk overloading the on-board BEC. Now, that said, if you're only talking about one or two LEDs, you might could get away with it. Depends on the ratings of the particular LED. Some LEDs require more voltage to emit enough light. Red LEDs require less voltage than blue LEDs, and therefore will be brighter than the blue ones on the same circuit. So you then have to get into balancing the circuit if you're using multiple LEDs and more than one color. Balancing the circuit requires some knowlege of electronics, or a good Google search might turn up an "LED balancer" app that can help. But in the end, you're better off using an external BEC or a 9V battery.