I've looked for a how-to on changing the fog lights on my 2006 OBXT-Wgn and couldn't find one. The ones I found for other models talk about removing the baffling from under the front wheel well(s). PITA
So - HowTo
Passenger side - remove the air filter scoop and housing. You can get to the back of the light through the hole that the air box resonator was in. The scoop comes of with the two plastic phillips push-pins on the front of the scoop. Take the back of the airbox off like you were replacing the air filter (good time to do it!). Then, remove the 3 screws/nuts (10mm) holding the box on the frame and the hose clamp holding air intake pipe on the box. You can shove the intake pipe aside as you lift out the box and resonator that hangs below the box into the front of the wheel well.
Driver's side - remove the battery and battery box/pad. You can barely slip your hand in the hole and remove/replace the bulb. Pay special attention to the orientation of the bulb when taking it out as you won't have any room to see what you're doing with your hand in there when replacing.
Remember to wear gloves when putting the new bulbs back in as you don't want to get any oil from your hand on the glass. It can harm the glass in the long run.