Red and orange LEDs definitely use less power than the blue and royal blue do. You should know the specs of the LEDs you're using, their forward voltage and what mA they need to be run at before you even contemplate wiring them. That's the only way you know what resistor(s) to use. You definitely need resistors with red and orange. Only blue, green and white can (usually) be ran at 3.7v without a resistor. Though, some people put a small one on anyway. (I usually do)
What do you mean you're testing them together? Are you pulling the wires back and touching them to the positive and negative leads on the battery? Do you just have the two AA batteries connected end to end? We can't really advise you without further explanation of exactly what you're doing. If the LEDs work individually, they should work when correctly wired to your board, the basics of which were explained by tx_tuff:
Run the positive to all three LEDS, then the RED, red/orange and FOC add the correct resistors to each wire separately (as they should be different) before soldering them to the negative post.
Visual representation of what that looks like, more or less:
This was for an RGB saber, but the principle is the same. The
red wire is my common positive. I have red wire connected to each positive on my colors I'm using. Personally, I twist the wires together and solder them to each other, and to a single wire that goes back to the battery. But, you can certainly run three wires down your hilt if you want to, and do the connection on the battery end. Waste of wire, in my opinion, but it's doer's choice.
Orange wire is for my red LED,
green wire is green,
blue wire is blue. In the case of this saber, I resistored them all and ran them back to the correct pads on the board I was using. However, say I wanted green and blue to be my mains and red to be my flash on clash. I would run the green and blue back to the LED- pad on my board, and the orange back to the flash on clash pad. If memory serves, I used the touch the wires to a battery method to test all of those and they worked fine when I did that.
Also, some people completely wire up the guts of their saber outside of the saber before installing it. I don't personally do that, but it is a method of ensuring that everything works as you want it to before you install it. When you go to install, you can simple desolder what needs to be desoldered, stuff the guts into the saber, and resolder what you desoldered.