I’ve tried to do this before and failed, but perseverance pays off in the end. The first one uses 4 PLCC2 surface mount LEDs glued around a bit of 5mm dia styrene tube. All the anodes are connected at the top to a wire that runs trough the tube. A wire is soldered to each cathode separately.
The whole assembly is very fragile, so liberal amounts of 5 min epoxy were daubed between the LEDS and over the top connection. A collar of 6mm tube was slid over the wires at the bottom and this was filled with epoxy too.
The LEDs were connected to a microcontroller running each light in sequence (with a bit of fade-off to blend each LED into the next to try and help create a more continuous effect rather than discrete lamps. The overall size is about 8mm dia.
Having made the PLCC2 version I went smaller. Using some 2106 sized LEDs as used in the Cylon Raider module, I stuck these to a piece of 0.6mm square styrene and connected up in a similar way but using single core wire-wrap wire (much smaller). Although exponentially more fiddly to solder, the result is a beacon that is about the same size as a standard 5mm LED!
Unfortunately these particular LEDs are not very bright, so while proving the concept, I will need something better. Moving to an 0805 size package opens up a larger selection of brightnesses so that will be version 3.