I asked almost this exact question about a month ago. My DD will also be 5 in Feb and wants a LE party.
I know we will:
-have the rocket cake from the PP's link
-play Pin the Baton on Leo (a request from my DD)
-have LE coloring books made from the printables on the disney website
We will probably:
-have rocket races. I found this idea on Birthdaypartyideas.com.
The kids hold hula hoops as a pretend rocket. You set out weighted white ballons with different length strings as the clouds and the kids run through/around the clouds.
-do a large painted mural. I'll set out a long banner of butcher paper with paints. I'll put pictures of famous artwork around as inspiration and ask the kids to paint a Happy Birthday mural for my DD.
-play musical chairs using music from the LE CD.
I'd like to do something related to instruments too, but I haven't figured that one out yet.
I also found this website with some ideas:
http://www.childpartythemes.com/tv_themes/little_einsteins_party.html
I'm hoping that party supplies come out before her party!
Good Luck