This thread details my LED install on the bi-xenons
http://forum.a8parts.co.uk/showthread.php?t=9336
Still available, and allegedly now e-marked as well 
http://www.ebay.co.uk/itm/1412430799...%3AMEBIDX%3AIT
My old filament bulbs never died - I generally stick to OEM, Osram or Philips from choice, never Halfords et al. But I don't do many miles and generally didn't drive around with sidelights on. Tend to do that more with the LEDs at this time of year as they're like DRLs and more visible to oncoming traffic.
You don't 'need' to refurb the headlight at the same time, but removing the inner reflector isn't risk free. I wouldn't want to modify it in situ, but you could probably get away with it although the removed material would end up in the back of the headlight!
It is a bit of a drag to do but if you're going through regular bulbs all the time it might make it worth the effort
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===SOLD===2002 Audi S8 D2 Final Edition (yes, really) in Avus Silver with purple extended leather===SOLD===
2011 S5 Sportback in Phantom Black with black Super Sports leather, 9x20s, tech pack high, adaptive xenon plus, intelligent key, memory seats pack, sunroof, B&O, Audi Drive Select & quattro Sports Diff, DAB, parking system plus
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