Nobody mentioned this so far so maybe it should be.
On many bikes that use a magneto and unsophisticated electrical delivery system, the current demands on the engine as well as engine RPM can make voltage to the lights extremely variable. Too high a voltage can easily burn the little bulbs. Without a battery or a voltage regulator, some lights may pop a lot.
One 'fix' may be to install higher voltage bulbs. They will not be as bright but they are less likely to pop. (I'm not sure if higher or lower wattage bulbs will help.. I'll think on it after i have my morning coffee and my brain is in gear.)