I'd go slow on switching to LED's. The incandescent bulbs give off it's heat by radiation. The Edison socket, that's the name of the screw socket, is not ideal for LED bulbs. It's a heat problem. To get rid of the heat generated by the LED electronics you need a heat conduction path, a good heat sink. What's coming are new designs that have LED bulb sockets designed for conduction heat dissipation. Yes, you will have to replace the entire fixture.
Don't totally ignore LED's but recognize that LED's in Edison sockets is an interim product. Just like compact florescent bulbs are turning out to be. Also don't believe the long live numbers, the life is based on good heat sinking of the LED chip to a good heat sink, something you don't have with an Edison socket. Notice the fancy heat sink like shapes of the LED bulbs, especially the brighter ones, that's an attempt to convert conducted heat into radiated heat.