The bigger problem with just putting LED bulbs in a dynamo headlight is that the reverse voltage can kill the LED. It's a question of how much reverse voltage the LED in the bulb can handle; and this doesn't appear to be listed on the Gentleman Cyclist page linked above.

You can alleviate the problem somewhat by making sure the headlight and taillight are wired on opposing circuits, so the flash alternately. But I don't think this will solve the problem entirely. Different diodes have different properties. The ones you would use to rectify the current (that is, convert AC to DC) are specifically designed to allow the current one way and not allow it the other way, while the ones they use in LEDs are designed to give off light when the current goes through them the right way.

All that said, I have not been impressed with the screw-base LED "bulbs" I have used. They don't give out as much light as better LEDs in the same price range, and they are really finicky. They stop working for nor reason I can understand.

For best results I think you should put a bridge rectifier into the circuit. You can buy one cheap at Radio Shack; it is inconveniently shaped and requires four soldered connections. Alternately you can build a more efficient one in any shape you like, which is equally cheap and also requires four soldered connections. I prefer the latter; here's a diagram for how you can hide the whole thing inside a piece of heat-shrink tubing; I usually put this near the dynamo, where the wire runs on the inner side of the fork blade from the hub to the light. Then you wire the headlights in series.