The required tools/parts, a size 2 cross-head screwdriver (the car's toolkit one works fine) and some new bulbs, I also used an 8mm socket driver.
OK, first off, bonnet up, lights up, remove the four screws (two each side of each light) which retain the plastic shrouds, these should have two washers on each screw, a large metal one and a smaller slim fibre one which is supposed to retain the large one, some of these smaller ones were missing on my car but they are not essential. Put the screws somewhere safe and remove the shrouds.
The metal covers are retained by four screws, again two per side per light, you may be able to use a screwdriver but I found that at least one of the screws was partially rounded out by a previous owner so I used a socket driver. You don't need to remove these completely as the covers are slotted, just loosen them enough to be able to take the covers off.
Rounded screw head.With the covers removed you have access to the connections, the electrical connections are tight and will probably require two hands, one to pull the plug backwards and the other to hold the lamp in place as the springs don't hold that tightly, with the plugs removed you can remove the dust covers.
Remove the dust cover, these are a push-fit and should come away easilyThe H4 lamps are retained by a spring, you remove this by pushing the free end towards the front of the car and moving it up past the locking tab, it should then pivot away to the other side.
Releasing the lamp retaining springWith this released you can remove the lamp and you are ready to fit your new ones. It makes sense to replace them as a pair, my drivers side light was dimmer than the passenger side due to a duff bulb and the old ones were clearly of two different types. The new Xenon ones are a huge improvement.
Removing the lamp
One empty headlight
One shiny new Xenon H4 lamp, don't handle the glass as contamination from your fingers can lead to premature failureTo coin a phrase from the wonderous manual of Haynes, re-assembly is a reversal of the dismantling procedure.
Fit the new lamp.
Re-secure the retaining spring.
Re-fit the dust cover.
Re-fit the electrical connector.
Back together, make sure your electrical connection is fully onWhen you come to re-fit the top covers, make sure the washers are in the correct place in relation to the slotted tabs and
don't fully tighten the screws. You want them tight enough to grip the cover but loose enough that you can adjust the position, set them high and once you are happy that they can be adjusted, drop the bonnet and lights.
Top cover awaiting adjustmentYou can now align the cover with the surrounding bodywork, once you are happy that they are properly ligned up, open the bonnet and pop the lights again, tighten the screws fully but be careful not to damage the heads. Also keep an eye on the cover as they tend to move slightly as you do the screws up so you might want to drop the bonnet and lights again to double-check before you re-fit the plastic shrouds.
Top cover adjustedAnd that's it, I re-aligned my lights as they were both a bit on the high side and weren't aimed straight either, I had intended to add the instructions here but my driveway is far from level and so I wasn't able to do a thorough job, they're level but the driver's side light is too far off to the left now so I've got to do some more tweaking.
Horizontal headlight adjustment screw, loosen (anti-clockwise) to adjust light to the left, tighten to adjust right, drivers side is reversed so loosening adjusts right
Vertical headlight adjustment screw (the one central to the light), loosen (anti-clockwise) to adjust down, tighten to adjust upBoth horizontal and vertical adjustment screws are accessible with the shrouds fitted, I took the pictures before I refitted the shrouds as it's easier to see the adjusters. The screws need turning several turns to see any significant change but don't go mad, there are documents on the net which suggest more precise ways to adjust lights but I don't have access to a level area with 25 feet+ of space and a blank wall at the moment so I can't check them, I'll save that for a future guide

Hope this helps someone!