Well, the best way to go about changing them, if you can find the bulbs, is to disconnect the battery, pop off the two acess covers on either side of the steering wheel on the back, and remove the airbag. The top of the pod will then unclip from the bottom half, there are about 10 metal connections that you have to be careful not to bend or break when removing. There is an electronics board that the bulb sits on..give the bulb a quick turn and remove it, replace it, and put it all back together. For some reason, it seems the right side goes out a lot while the left side doesn't go out much at all...
If I were you, and if you can solder, I'd solder in an LED instead of a bulb...never have to replace it again.