This is an old thread but I had to add my two cents worth.
I tried drilling out the old rubber lamp holder as mentioned earlier....and it didn't work too slick.
Maybe my bits weren't sharp enough, or maybe the rubber was starting to get brittle, I'm not sure...but the rubber had a tendency to split as the bit worked it's way through. It seems that rubber doesn't drill worth a shite. I got to the third lampholder and the rubber almost split in half. On the last one I decided to experiment. I have a wood carving kit that I got for Christmas some years ago. Included in the kit are some exacto type knives that are fairly long and slender. I used one to carve out the hole instead of drilling it. It worked like a charm!
The rubber cut like butter. I was able to cut out a hole that was WAY better than any of my first three attempts with a drill bit.
I also used a dremel to shave the "lamp clip" nubs on the shades down enough that they fit snuggly over the new lamps (lamp courtesy of dgwojo of course).
So....the exacto knife / Dremel combo worked well. For me at least.

If anyone needs any tips on this feel free to PM me. Or if you didn't feel comfortable doing this yourself, I could probably do it for you.