Better late than never, but you do have to remove the entire headlight assembly to take out the HID bulb. You need to take out a handful of plastic screws and fasteners to allow you to pop the bumper cover off enough to slide out the headlight assembly. I agree that the service manual makes it seem like a huge deal, but it isn't that bad, and you don't have to take off as much as they say you do (no need to remove the plastic pieces underneath the car). Once the headlight assembly is out, just take the cover off of the back of the HID bulb and remove the connector and carefully take out the bulb. This procedure is described in the service manual.
2010 Mazda3 GT