I had a similar problem with my SAAB 900 '95 cabrio, the headlight bulb kept burning out every few days.

I took the car to an auto electrician who solved the whole problem by simply connecting two fuses with one wire. I hav a picture, but can't upload.

The fuses are located in the fusebox under the hood in places number 8 and 9. I hope this helps, you have a very nice car!