There are two basic approaches. The first, and simplest, uses resistors or constant current devices to limit LED current. Not too efficient but widely used.
The second uses a complex switching circuit that accomplishes the same thing but wastes much less energy. This translates into longer battery life.
The best scheme treats each LED separately. You can also put them in series but making the current constant is a bit more of a challenge due to the limited overhead voltage from AA cells.