The lights on my Autometer Ultra-Lites are in twist in sockets in the back of the gauge. Just twist out socket pull bulb and replace with standard matching push in instrument lights from any auto parts.
Not sure about the Cobalts, but ITP Diesel sells LED inserts for mine. I have them on my Z-series, so I would think they would have them for Cobalts since the Z-series are pretty much bottom line gauges.