One or more LED dice are mounted on a support structure. The support structure may be a submount with the LED dice already electrically connected to leads on the submount. A mold has indentations in it corresponding to the positions of the LED dice on the support structure. The indentations are filled with a liquid optically transparent material, such as silicone, which when cured forms a lens material. The shape of the indentations will be the shape of the lens. The mold and the LED dice/support structure are brought together so that each LED die resides within the liquid silicone in an associated indentation. The mold is then heated to cure (harden) the silicone. The mold and the support structure are then separated, leaving a complete silicone lens over each LED die. This over molding process may be repeated with different molds to create concentric shells of lenses. Each concentric lens may have a different property, such as containing a phosphor.