Yes you remove the whole instrument cluster.

1st. remove the drivers side lower knee bolster panel.

2nd. Open the engine compartment and where the speedometer cable goes to the tranny, you will see it attached to a bracket. Disconnect the speedometer cable form the bracket and push the cable into the firewall to allow the instrument cluster to move out of the dash.

3rd. From below the dash push on the back of the instrument cluster to dislodge it from the dash.
When it comes out it will not come out all the way. The items that prevent this are the wire harness, the speedometer cable and the oil pressure gauge line.
Pull off the wire harness
Unscrew the speedometer cable, it may require pliers, but be careful not to cross thread it going back on.
Use a wrench to disconnect the oil pressure line.

Now the instrument cluster (IC) will separate form the dash.

The IC lights are a brown base light socket located at the top of the back of the IC.
From the IC light prisms at the top of the inside of the IC move straight back. The brown base units are the bases of the lights. unscrew them and replace the bulbs.

You may be able to replace the bulbs while the IC is still attached via the wire harness oil line and speedometer cable. It will allow your hand to just fit between the dash the IC. IF you know which brown bases are the lights you can do it this way.

Dave

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1970 220D, owned 1980-1990
1980 240D, owned 1990-1992
1982 300TD, owned 1992-1993
1986 300SDL, owned 1993-2004
1999 E300, owned 1999-2003
1982 300TD, 213,880mi, owned since Nov 18, 1991- Aug 4, 2010 SOLD
1988 560SL, 100,000mi, owned since 1995
1965 Mustang Fastback Mileage Unknown(My sons)
1983 240D, 176,000mi (My daughers) owned since 2004
2007 Honda Accord EX-L I4 auto, the new daily driver
1985 300D 264,000mi Son's new daily driver.(sold)
2008 Hyundai Tiberon. Daughters new car