They are soldered to the printed cicuit board. There not real hard to replace.
Be sure to wear a static ground strap while handling the board and when soldering/unsoldering.Perform all soldering/repair on the static matt that you will need to use.Radio shack has them for 25 bucks.
Bulbs can be bought from a few E Bay guys, just look around.
I have also replaced the stepper motors for the gauges.Its all soldering work....so. bone up on the soldering skills.
There are places that repair them just pull it and send them in.
The hardest part about replacing the stepper motors is if you dont have a scanner(like mine) to activate the gauge to say for instance... half scale so you can properly calibrate/install the indicator needle.Replacing the bulbs requires soldering only.
The HVAC head has the same bulbs also.They too need to be soldered.
Be careful trying to get the HVAC control apart, you have to pull the knobs off to split it open, sometimes a few guts come out when you do...
The sliders will be the most trouble.