I've just done it, but not without using some of the choicest swear words known to man :)
You will need to remove the upper radio/vents fascia, and the radio itself. Unclip the electrical connectors (theres one on top and one at the bottom), and then release the red and blue clips on the air circulation control and the thermostat by squeezing the top and sliding it off. Then remove the steel wires underneath the panel, by squeezing the stubs holding them on.
You cant remove that white plastic housing on the back, however you can unclip the fascia from the rest of the unit. This will allow you access to the other side of the circuit board, which will make it that little bit easier to guide the bulbs into the sockets (especially the ones with awkward access in the middle). I also managed to break a clip or two (I don't think the bulbs have been changed since the car was new - the old bulbs were blackened as hell, and the middle two were entirely missing).