Use 4-pin S-video cable connector on RGB LED?
S-Video isn't very common anymore, at least in the 'states. But still, it could happen. Is this for cable-mount, panel-mount, circuit-board mount? How about something like this?

(source: digikey.com)

Get two of them for each LED.
Trim the LED leads flat.
Insert and very gently solder the LED into socket #1. Keep it cool, plastic will melt.
Solder socket #2 to your circuit board.
Connect them together.

Low-profile, easy, fast. It's up to you to make sure it's connected the right way. There are &quot;keyed&quot; variants of these also which make them only connect one-way.