This should probably be in the beginners section, but the attached may help you get started. If you don't have LTSpice already, go download it and play with the values.
You'd be best to stack three CR2032s in series to give 9V, or use a 9V PP3 instead (if you can). Blue LEDs need about 3V to light up, so 6V may not be enough. Red or green LEDs would be better for two CR2032s, blue may require three. You could also try the LEDs in parallel to run on a lower voltage, but they may have to run at a lower current as well.
Just put a switch between the supply and R1.
Component values aren't critical, any transistor should work. R1 and C1 delay the transistor switching on to create the on-fade, R2 delays the off-fade. C2 and C3 are used for both on and off, and basically you need quite a bit of capacitance here. About 10,000uF seems reasonable. Use several smaller caps in parallel if you have to.
You'll probably need to breadboard this one and tweak the values to get the desired effect. It's one of those circuits where everything is interrelated. (A 555 timer circuit might also be possible, but I don't have time to look into that at present.)
Good luck with it!