The thermal epoxy is easiest but leaves little room for error or adjustment afterwards.
The epoxied LEDs are still very easy to pop off with a sharp chisel - just takes a gentle tap with a hammer. I replaced several this way to change colors and haven't had any issues, even epoxying them back onto the residue from where the old ones were glued down (ie there must still be good enough contact for thermal dissipation).
Are you able to reuse the led after you pop it off?