Ok heres a little diagram, sorry, i just sketched it up. But anyways, the LED's should be connected in a series like you see. Assuming you know something bout electrics.
The LED's will be connected to the fan via Ground (black wire) and +12v (usually red or yellow on fans) (on
PSU always yellow.) Well what you want to do is cut the ground for the LED's only, not the fan. Then just put a little switch inbetween there.
Sorry if it dosent make much sense, if you want I can do it over here and post some detailed pics for ya. But im hoping this will help
ADD :: added a pic of an actual fan. see the black wire with the arrow on it, thats the one you want to cut. Then add a little switch in there. If its a 3 prong switch, solder one end of the black wire to the middle prong and one to either of the outside ones.
If its a 2 prong, well thats kinda obvious, well hope this helps. Any questions plz ask.