This IS a task. I tried doing it quite a while ago, and it was a total pain in the ass, I broke the plastic rings that the screws go in, no biggie but "I broke something" doing this job so that sucked. I wound up replacing the wrong bulb. Not in illumination one but like one of the other indicator bulbs like a turn signal... and it wasn't burnt.
It sucks, it can be done without removing the steering wheel (I'm not so sure about getting it out without scratching up the leather but I guess if you really wanted to)
I loathe doing this again, another bulb went out and now I have to really look at night to see how much gas I have left or what my water temp is.