I had the same problem on my old 325 ci.. I bought a set of clear bulbs that didnt fit for some reason. So I wanted to rigg a temporary setup (which became permanent..lol) and i took a knife sharpener and i shaved one of the little prongs on the side of the bulbs (not the bottom connecting end) but the prong on the metal housing. I put them in and they didnt work at first. But then i started turning the bulb and eventually it came on. I left it like that for 3 years and they never went out. Try turning the bulb while its int he socket. Its probably not grabbing right.
..Is now Alpine White/Cinnamon...
^Don't say my car is topless, say the t!tties is out^