The manual is a bit too terse on this one (what a surprise). It's missing two steps. Here they are in addition to the others:

1. Remove the black plastic cover for the headlight. There are three clips at the bottom. It's easiest if you gently lift the one closest to the radiator.
2. Inside the headlight box, locate the grey tab closest to the edge of the car. Press it in and push toward the front of the car. This should release the marker light housing.
3. The housing should be hanging off the front by the bulb wire. Disconnect the wire from the bulb base.
4. Twist off the bulb base from the housing. Both bulb and base should be in your hand.
5. Twist off the bulb from the base. Replace with the new bulb.
6. Installation is the reverse of removal.

Note that there are two tabs on the side of the housing closest to the headlight. Make sure you get them into the two slots when you reinstall the housing. Turn the key to the second position, test the light (with and without the blinker) and enjoy. Also heard that you should get the same bulb type (copper vs silver base) to prevent power mismatch. Finally, my bulb was stuck in the base pretty badly. If that happens, then pull the glass and twist it out. Work on the base it left behind with a needle nose plier. Not fun, but should come out without breaking the bulb base socket.