Let's Control It

i want to switch multiple leds on/off seperately

this is mostly done by hooking up a led with a 220ohm resistor in series between a GPIO port and the ground.
When GPIO is 1 current will flow from GPIO to GND (Max current=12mA)
When you hook up multiple leds te total current need to be supplied by the ESP8266 chip which possibly gets warm.

would it not be a better way to hook up the led and resistor between +3.3V and GPIO.
This is way the current will flow from +3.3V through the GPIO when it is switched to 0
Also this would not limit the current to 12mA per led but would limit the total current to that of the voltage regulator

i would say the total current in the second situation is coming from the 3.3v voltage regulator instead of the ESP8266 chip

any thought on this?

That's exactly what's described in datasheets as the amount of current that can be sourced (ESP delivers power for the LED) or what a chip may "sink" (just redirect current to GND)

Sink current of an ESP8266 is about 20 mA, source current is about 12 mA (per pin)
See: https://bbs.espressif.com/viewtopic.php?t=139

thanks.