growing leek

It's the first time I grow leek. So I put the leek seedlings just in the soil without digging that dip/hole. I now read that I should have set them in a dip in order to develop that brighter green stem base. They are now pencil thick. Should I better carefully dig them out again and create that hole to put them deeper into the soil? Or is it better to let them grow as they are now?

You could try digging them out or just put some collars round them.
Cardboard or dark plastic tubes, this is what growers do for show leeks.
Both methods produce the white blanched section at the bottom of the leek. 

Although it partly depends on how long yours have been planted out young leeks can stand a bit of root damage (some people trim the roots anyway when dibbing in), so I'd use a narrow trowel to lift them one at a time, then the same trowel to make an 8" deep hole and drop them back in (it's the way I do it anyway because I don't own a dibber!)

I've never tried the collar method, mainly because I can't be bothered and I don't mind the greener parts of the stem anyway - I guess the number you are growing could also have a bearing on what will work best for you.

My first year as well.

I have sown them in modules whilst I wait for space to come free. They are quite tiny but roots are already popping out of the bottom. When should I transplant them to their final position?