There's a couple of ways to do it, the cheapest way to do it is just buy the sleeves from repco/autobarn/seupercheap etc. that go over your current globes.
You can get rid of the bulbs completely and go for LED's. It costs a bit more but it is a tiny bit brighter.
You can only really change the colour to shades of red/orange/yellow, blue doesnt work cos the letters are yellow, it turns out a really light purple colour that is barely seeable on the instrument cluster. You can change all the other dash lights to any colour you desire tho.
I've done mine in Red LED's, there's a few threads around about this so have a look around.
Phat Drift Damaged
Cobalt Blue 1994 EF XR8 5 spd
Fully optioned - Sunroof, cruise, body kit
Stock as a Rock for the moment