I have a directory with a bunch of files with names like:
001234.jpg 001235.jpg 004729342.jpg
I want to remove the leading zeros from all file
sed by itself is the wrong tool for this: you need to use some shell scripting as well.
sed
Check Rename multiple files with Linux page for some ideas. One of the ideas suggested is to use the rename perl script:
rename
rename 's/^0*//' *.jpg