It depends on the car. On my 528e, it's fairly easy:
1) Remove steering wheel
2) Remove 2 phillips screws from the top of the gage cluster.
3) Pry out cluster using a small flat blade cluster
4) Detach the wiring harnesses. This is actually the most painful part, since there's a lot of connections, and several of them can be interchanged. I typicially make a little diagram
5) Replace the bulbs
6) Reverse to reinstall
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