I like to put a 39 ohm r between the pic and the mosfet gate. I often find that failed fets love short drain to gate on failure and in low volt apps a small r will save the pic chip. its also nice to have a 1k r between source and gate to ensure fet is kept "off " when pic output is in high impedance state .thats probable whats keeping your leds turned on. its important to remember that mosfets are gate charge dependent devices and that correct switching means rapid and thorough charge/discharge of the gate capacitance