Seems like way overkill, 2 AAA batteries should be more then sufficient for 5 regular LEDs...
I suspect you are wiring the LEDs in series, you should wire the LEDS in parallel with the appropriate limiting resistors...
Go here http://led.linear1.org/led.wiz plug in a 3 volt power supply (2 AA batteries wired in series), put the forward voltage of your LEDs (probably 2-2.5 for normal LEDs) put 20 (or 15) for the forward current and put 5 LEDs and it will spit out a wiring diagram and calculate the resistors you need...
Or you can use a combo of series and parallel wiring and get away with a few button cells for power... This will require a little manual math with Ohm's Law to figure out...