There are 2 LEDs on the proto shield, but I don't know how to make use of these LEDs in a sketch.
They are power and status, they are not for your use in a sketch...
Additional LEDs get attached to digital I/O pin with a current limiting resistor... Yes, you would need to solder them or bread board an attachment to the Uno for them to work... You either tie the LED to ground in series with a resistor and take the pin logic high to turn them on, or you tie the LED to the positive rail with a series resistor and take the pin low to turn them on...
There is a whole sticky post in regards to calculating the needed current limiting resistor...
And yes EVERYTHING you do with an Arduino needs a sketch, without a sketch it does absolutely nothing... If you want to do something with an Arduino you will need to write a sketch, the official support forums are an invaluable asset in this respect and purchasing from the official makers ensures continued support of their design...
If you want to figure out how to use an LED visit the official support forums, lots of step by steps...
http://arduino.cc/forum/index.php/board,6.0.html
