Quite a late reply but anyway. The dash and clock lights are relatively easy to change to blue:
And this epic moment for my puma's mileage..
(If you need more of a guide I'm sure there is one up on here, if not I'll do one for you)
Don't seem to have a picture of the clock, it's your choice between buying LEDs and soldering them on (hard) or buying a clock with a blue LED (easy, slightly more expensive)
However the lights behind the heater, under the window switches etc take quite a bit more skill to do, as you aren't changing bulbs, you're re soldering new LEDs. One is hard enough to do because of their size, but there are many of them. The heater has LEDs behind each number etc if I remember correctly.
In short, yes it can be done, and if you are good with a soldering iron, then it shouldn't be too difficult. If you're not though, it'll be a right pain.