Here are my thoughts:
I just looked at mine and if you remove the screw holding the headlight bracket the bracket will slip out. The bulb is held in by a grommet, and these are often fussy, but using some needle-nose pliers and such, you can worry it out. If the bulb (not an LED, I believe) is truly burned out, don't worry about damaging it.
The new bulb (most small 14 - 18V bulbs will do) will be easy, but getting the grommet back in can make one lose his religion, if any.
I have often skipped the grommet and secured the new bulb with a bit of silicone or Walthers Goo (or the like). The grommet does help keep light from coming out ther rear of the headlight, but so will black paint on the bulb's backside.
Before you do all that, you could unplug the bulb and test it on a low-voltage DC power source (old Tyco HO power pack, for example) - but I think that you have to remove the boiler shell to get to it - but you are going to need to do that anyway to put the new one in.
Model railroading is the definition of fiddling, sometimes.