I'm wondering if it's possible to use the pi pins directly to toggle a led programmatically.
I don't have a GPIO board. Is it possible to connect the led to the pins and control it from the code?
Yes, You can connect LEDs directly to Pi's pins. The Pi has many GPIOs on the header and you can use any one of them and connect an LED on a breadboard.
Here is one very well explained tutorial for the same:- Click Here
Here is reference image about LED Connection.