Going with LED turn signals (and there are TONS of really nice options for that) will definitely help you in having brighter lights and will reduce the amount of juice being used. BUT, as Knifemaker says, that juice being saved has to go somewhere and it'll cause the RR to warm up even more. At this point that's more of a technical issue that a real concern though.
When I changed my turn signals over to LED I was more interested in the brightness/being seen aspect than having any concern about saving in the electrical department. But what I did was compensate the current flow. If I just reduced my load by "X" percent by switching to LEDs then I figured I could now ADD electrical doo-dads to make up for that and hopefully not cause the RR to overwork. So I added LED running lights and wired the bike for my GPS. Neither of these things draw a lot of current but they're nice additions and will not hurt the overall electrical system, especially since now there was a bit of spare juice to use.
So you're LED goal should not be just about saving electrical current. It'll also mean you can add accessories that you otherwise might not have been able to safely do since the electrical system is not really robust on this bike.
As for changing the headlight into an LED light, I'm thinking about doing that myself once my original headlight craps out. There are more electrical doo-dads I'd like to add at the same time.
Saddlebags, hard mounted
Fork mounted tool bag (now hard mounted)
Relocated rear turn signals
LED turn signals, brake lights and running lights
LED license plate frame
Engine Guard and Highway pegs
National Cycles Low Boy Heavy Duty windshield
Home made lowers (nice)
Custom seat (made by a local guy)
Iridium plugs (DPR7EIX-9)
Shenko 230 Tour Master tires at 11,123 miles
Splines lubed at 11,123 miles
Light bar with LED lights
Progressive 412 shocks