You mean bulbs? Or actual headlights / housings? If it's the actual headlamp itself, you might want to consider where you're buying the shitty quality stuff from (or whatever shop you're having them do it, which IMHO is stupid because changing a headlamp is 1 of the easiest things to do).
If you mean headlight bulbs, don't touch the casing. The moment you touch them with your fingers (with no gloves, etc.) and turn them on, you can say bye bye to them. NEVER touch headlight bulb casings with fingers. Body oil, etc. contaminates them and DRASTICALLY decreases their life span by tons. Always grab them by the 3 prongs or the metal.
And changing a headlight bulb is cake. Maybe it's just cuz I have small hands / fingers. But it's very simply and takes me less than 30 seconds. It makes it easier if you take off the power steering fluid reservoir of the bracket and move it aside. Also use pliers to unhook / hook the little metal tab holding the bulb down.