It's interesting that the Apostle Paul mentions being led by the Spirit in the book of Romans (Rom. 8:14).  In fact, Paul refers to the Holy Spirit 27 times in Romans: 4 times in chapters 1-7; 17 times in Ch. 8; 6 times in chapters 9-15.  The main subject of Romans is the gospel; specifically, the doctrine of justification by faith.  In Galatians Paul teaches the close association between justification by faith and the gift of the Holy Spirit (Gal. 3:2, 5, 14).  So it shouldn't surprise us that Paul links together justification by faith and the gift of the Holy Spirit right in the middle of the book of Romans.  Paul explains what he means by "led by the Spirit" (Rom. 8:14) by giving us eight characteristics of those who are led by the Spirit:

1. They are in Christ (Rom. 8:1-2)
2. They fulfill the righteous requirement of the law (Rom. 8:3-4; Jer. 31:31-34; Ezek. 36:26-27; 2 Cor. 3:3; Rom. 2:29)
3. They think about spiritual things (Rom. 8:6-8; 12:1-2; Col. 3:1-2)
4. They are indwelt by the Holy Spirit (Rom. 8:9-11)
5. They put to death the deeds of the body (Rom. 8:12-13)
6. They relate to God as sons and not slaves (Rom 8:15; Gal 4:7-9, 22-30)
7. They have the internal witness of the Spirit (Rom. 8:16; 5:5; Gal. 4:5-7)
8. They are willing to suffer in light of future glory (Rom. 8:18; 2 Cor. 4:17-18)

Here's a summary by William Hendriksen: “What, then, does the leading of the Spirit actually mean? It means sanctification. It is the constant, effective, and beneficent influence which the Holy Spirit exercises within the hearts and lives of God’s children, enabling them more and more to crush the power of indwelling sin and
to walk in the way of God’s commandments freely and cheerfully.”

However, even though being led by the Spirit has these objective, observable characteristics, we should not think of it as simply an intellectual thing.  Wayne Grudem writes: "The contrast between 'desires of the flesh' and 'desires of the Spirit' (Gal. 5:16-17) implies that our lives should be responding moment by moment to the desires of the Holy Spirit, not to the desires of the flesh.  Now it may be that a large part of responding to those desires is the intellectual process of understanding what love, joy, peace (and so forth) are, and then acting in a loving or a joyful or peaceful way.  But this can hardly constitute the whole of such guidance by the Spirit because these emotions are not simply things we think about; they are things we also feel and sense at a deeper level.  In fact, the word translated 'desires' is a word that refers to strong human desires, not simply to intellectual decisions.  Paul implies that we are to follow these desires as they are produced by the Holy Spirit in us.  Moreover, the idea of being 'led' by the Holy Spirit (Gal. 5:18) implies an active personal participation by the Holy Spirit guiding us.  This is something more than our reflecting on biblical moral standards, and includes an involvement by the Holy Spirit in relating to us as persons and leading and directing us."

May we all be led by the Spirit of God!