They still use less power with a resistor in there, but the better way to do it is, as suggested, a different flasher relay. Actually, on my Neon, I was able to cut a small part of the circuit board inside the relay to kill the part that looks for the flasher resistance.
Another advantage to LED is the faster light up times ("Instant on" if you will). It's one of the reasons why my brake lights were changed out first in the Insight (the very small time difference could mean I don't get rear ended, or at least as bad). I haven't changed the blinkers out yet on said Insight because they aren't used enough (for me) to warrant the cost to replace them (Energy consumption wise). Headlights are my next big one to do. Soon as one of those blinkers burns out, however, replacement will be done!