Unfortunately, the native application on the phone out of the box does not permit changing the LED notification colors, much to my dismay. Seems silly, since it's clearly capable of multi-color notifications.
However, based on suggestions here on AC, I'm using the Light Flow Lite (i.e., free) app and it works like a charm.
The only thing you have to do is make sure that, in your Settings (Display/advanced settings) you have "Notification light" turned ON but, within the Notification light settings, UNCHECK any notification you want Light Flow to control. For instance, on mine I unchecked all except for Alarm (because I liked the idea of the multi-color LED notificaiton for that in the native menu.) Everything else I have controlled with Light Flow, and it works great.
Hope that helps. Good luck.
p.s. - your avatar is great! I'm Dad to 2 labs, myself.