PWM control needs an inductor to store energy, or it won't do anything for you. Just running your LEDs with 20mA half the time as opposed to 10mA all the time isn't going to increase battery life. What really saves energy is using an inductor and not a resistor (or transistor, or voltage regulator) to limit the current....You need a few basic functions.
First, use PWM control over your LED brightness. It's more efficient than other methods (e.g. linear control over current) that waste as heat the energy not used by the LEDs. ...