Note WHEN the light comes on
The other clue which really helps track down the bad bulb or socket is to pay attention to when you get the indicator light. The "bulb out" system is designed so that the indicator light only comes on if you actually use the bulb which is bad. In other words, the system has no way of checking your headlamps if they're not on.
Just be systematic and you'll get it. Start the car, and if no indicator light on the dash, hit the brakes. If the dash light comes on, check out the brake lights thoroughly. If it doesn't come on, try the turn signals . . . the parking lights . . . the headlamps . . . REVERSE lights . . . you get the idea.