I wasn't exactly sure how others handled this, but I wanted to pre-bend my pins to hopefully make them fairly uniform. I took a couple of scraps of thin plywood and notched out a... umm... notch that was just big enough for all of the pins of an LED to fit in snugly. I then folded a couple over in a manner that the anode (long one that will be tied together on each of the horizontal layers) had room to clear. I then traced a couple of lines to show where they landed, then drove a couple of small nails in on either side of both lines and clipped off their heads. These served as a jig for all future pins to be bent into. I folded the blue and green pins into place, removed the LED, turned it around 180 degrees, then bent the red pin into the left slot.

Not sure how Vespine's http://v3spin.blogspot.com/) actual process went, but the end result was a pretty blatant copy. :)