I have converted my EA GL dash with red LED's, I know for a fact that the GL cluster has no filter in it, whatever colour the bulb is is what colour will come out, but since they painted the dials in the orange colour blue wont turn out good at all, I tried blue leds and the dials turned out a really light purple colour that you could hardly see.
If you want to do it the cheap way but doesnt turn out as bright as LED's you can buy slip on bulb covers from repco, autobarn etc that just go over the bulbs
Phat Drift Damaged
Cobalt Blue 1994 EF XR8 5 spd
Fully optioned - Sunroof, cruise, body kit
Stock as a Rock for the moment