Here is a how-to for removing the tail lights.
http://www.renntech.org/forums/index.php?showtopic=98
Side markers are easy. Grap the corner next to the wheel well and pull outward.
Headlight removal is detailed in the owner's manual. In short: loosen the trunk sidewall carpet, remove the rubber plug, insert supplied removal tool into the hole, turn 90 degrees to unlock the light, another 90 to push it out, and remove.