Alright, I must confess that this sounded easier than I thought. Thanks for the pictorial. It really was solid, but execution is funky to say the least.

I didn't have the same trouble as Sandgrounder. His looks like it got messy quickly. I got down to the point where it's old bulb off, new bulb on, but got stuck at the bulb off part. It wouldn't come off. I tugged, shook, twisted, and turned the bulb without success. I stopped short of tearing the thing off the assembly, and with a few scuffs on my hand to show for it. Here's the result: I was beaten by the bulb! I couldn't do it. What came across as a simple job was nothing short of a full on war (and believe me I changed a fair share of bulbs over my 20 year car ownership history).

I had to get the dealership to do it for me when I took the car in for routine service. How embarrassing is that?!
PS: both caps came off my fog lights over a year ago and I never bothered to change them. Now I won't bother trying.