The only extra work needed is if you replace the indicator lamps with LED versions as the standard flasher relay depends on the current draw of the standard filament lamps to set the flashing rate. There are two ways to deal with this - either fit 'ballast' resistors to the indicator circuits so that the resistors draw the same current as the filament lamps being replaced, or replace the actual flasher relay with one designed to work with LED lamps. I've covered the topic
here.
Pick the lamps carefully. I started using LED lamps in my classic 900's about 5 or so years ago and had some good success with the early product that I source from UltraLED's in the UK. There is now a lot of low-quality LED lamp product on Ebay that's made in China so it's worth evaluating the quality before committing to doing a wholesale replacement of as many lamps as possible with LED versions.
I've had a number of lamp failures. One has been quite serious (read the bit about the failed LED 'festoon' lamp on my web page linked above), but all have been breakdowns of the control circuit in the lamps so that some or all of the LED's in an individual lamp flicker or give intermittent output. Just recently I noticed the original white dual-contact LED lamps I have in my 89 900i hatchback which were originally in my 83 900s sedan have started giving that flickering/intermittency problem so they need to be replaced.
The only lamps you can't replace with LED's are the headlight bulbs, and the charging lamp in the instrument cluster. All the others can be replaced but th very small 286 type used for switch lighting, etc. can be annoying if they are not made with 'indents' in the metal contacts that hold the lamps in place with the spring fingers in the various small lamp holders.
Here is what you're aiming for in terms of lighting output with good quality replacement BA15 type lamps:
flickr page
Craig.