This circuit uses an Arduino UNO but it still works on an Arduino MEGA 2560.
In this project we only use one 5mm LED, but since the LED has four pins, I used three LED symbols in place of the four-pin LED. The three cathodes of the LEDs in the schematic are the three cathodes on the Full-Color 5mm LED. The three anodes of the LEDs are the one anode on the Full-Color 5mm LED.
We'll assume you're ok with this, but you can opt-out if you wish.