Simple \$12V_{AC}\$ to \$12V_{DC}\$ Rectifier
You may want to have a look at the answers to this question.  

Applying AC to a LED is not a good idea. The flicker is not the main problem (may be hardly visible), but LEDs have a limited reverse voltage, usually about 5V. So the 12V you're using is way too high and may destroy your LED.
What you need is a rectifier, followed by a capacitor (to flatten out the rectified voltage). You can use a rectifier like in your Maplin link, or use discrete diodes.  



1A diodes like 1N4001 are standard and will do nicely for a few standard LEDs. For the capacitor I use 2000uF/A as a rule of thumb, so if your LEDs consume 100mA you could use a 220uF/25V electrolytic capacitor. Be sure to place the capacitor correctly; it may explode if you reverse it.  

The DC voltage will be about 15V (\$12V \times \sqrt{2} - 2V\$ ), so depending on the type of LED you're using it's a good idea to place a number of them in series, otherwise you'll have a big voltage drop over your series resistor = less efficient.