Arduino, controlling leds with 3.3V even though dig. has 5V?
Show a schematic of the particular arduino you are using.  If it has a linear regulator making 3.3V from 5V, then there will be no power savings in running the LEDs from 3.3V.  The resistor in series with the LED will dissipate less at 3.3V, but the remaining power a resistor resulting in the same current for 5V would dissipate is just made up in the 3.3V regulator instead.  That may overload the 3.3V regulator whereas using the 5V power supply spreads out the extra dissipation.

The difference between 3.3V and 5V is not that great.  If you are worried about power and the 3.3V supply turns out not to be a switcher, the simplest answer is to get higher efficiency LEDs and run them at lower current.

How many LEDs do you need to run?  How much current thru each?  Have you checked that the arduino power supply is capable of the extra load?  The extra current capability of the 5V and 3.3V supplies are probably different.  Check the spec sheet to see what current is available.  If you need a lot of power, you probably have to arrange for it yourself from a separate wall wart or something.