I've just done mine three times.

The bulb and holder kept falling out.
I did it first time removing the radio because I was replacing that anyway. I found that the centre bulb which pushes in the back of the heater control unit will push in two ways. However one way seems to foul the cables from the temperature control which seems very odd.
Inserting it in 180° round felt a better fit and the temp control knob cables etc don't foul or touch it.
It was doing that I think that caused it to fall out after I replaced the blown bulb the first time.
As mentioned above you can undo the two screws on the side of the console (with caps on) and carefully bend back the panel and get in that way. It does help if you know where to find the bulbs. There are only two and the left side one goes in from underneath the control unit rather than back. You will need to go in from the LHS I think.
The second time I thought the bulb had blown again so bought another. The cheapest is £10 off eBay. I did not even try to phone BMW.