I just attach LEDs to a digital i/o and then a ground pin, but I still need to get a breadboard. Maybe that's not the way with a 10mm one.
You're probably "ok" doing this, but not too many LEDs draw less than 8ma, so you are theoretically risking running outside of the specs and burning out your netduino, if you are using one of the 8ma or 16ma pins. You should probably use some kind of resistor, regardless.