Actually, the RadioShack link is for a pack of 500 resistors, of varying resistance.
One of the few things I know about electronics is that the wattage rating of a resistor is the amount of heat it can handle. So it doesn't really matter if you use say, a 1/2 watt resistor when a guide or kit calls for a 1/4 resistor of the same resistance.
The difference between 4.0 and 3.9 ohms is pretty neglible, but AFAIK there is no 4.0 ohm resistor, only 3.9 ohm and then 4.3 ohm.
Anyway, you can make exactly 4 ohms of resistance by placing two 2 ohm resistors in series if you want. Daedal said that a 4 ohm resistor would limit the maximum current at about 312.5mA.
I myself am worried about what wattage resistor is appropriate. Daedal used a 1/2 watt 10 ohm resistor so I assume that 1/2 watt resistors are the way to go.
So yeah, I guess stick with a 3.9 ohm resistor, and as long as you don't have the pot turned to max all the time your diode should live a good while.
Hope that helps.