Those clips are the worst invention ever. In my old car all you had to do was plug the bulb into the new harness, put it into the headlight and turn about 30 degrees. Kind of like the high beam on the P5 (I think). It makes you think that mazda was thinking ahead of all the money they could make from selling replacement headlights when the plastic holding the clip broke.
I dealt with the bouncing, poorly alligned bulb for a couple of weeks, it drove me crazy. I'd really work on trying to find a way to hold it in properly, at least for a while, if I were you. Especially if you do any night driving in an area with lots of deer/moose/bears.
My left headlight went out a few months ago. And I started to replace it myself. Didn't do any research, and couldn't figure it out. Right before damaging something, I realized that this sort of thing is covered by the warranty, and let the dealer do it.
