Alternative to setting nofollow for links in your blogroll, you may also consider showing blogroll only on the main page. Which of the SEO tactics to choose – it is up to you. You may, of course, also “nofollow” individual links you don’t particularly like, but which should be in your blogroll.
My top choice would be to show links only on the main page and setting “nofollow” for individual links (for example, not relevant to your blog).
Using Widget Logic plugin
Easiest solution, without editing core files is to install a tiny Widget Logic plugin. After install go to Links Widget and in the Widget window under Widget logic: type in “is_home()”. That’s it. This widget will only show on the main page. Of course you may use it also for any other widgets.