When you pick up the LED, you will notice that one leg is longer than the other.
The longer leg (known as the anode), is always connected to the positive supply of the circuit.
The shorter leg (known as the cathode) is connected to the negative side of the power supply, known as ground.
LEDs will only work if power is supplied the correct way round (i.e. if the polarity is correct). You will not break the LEDs if you connect them the wrong way round – they will just not light.
If you find that they do not light in your circuit, it may be because they have been connected the wrong way round.