Fuse may work but make sure it is not a slowblow fuse. Otherwise your LED will fry. I do believe that you could put a sacrificial LED or diode to act as a fuse but i'm sure that evil can provide you the actual info. Slowblow fuse have to be overcurrent for longer periods of time and only trip fast if way over current. Takes no time to fry leds.
Most fuses don't blow fast enough to protect the LEDs unfortunately. There is no harm in adding them, but it's not something that I would rely on. Paying attention to what you are doing will save you more headaches.
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