If by chance you are getting your fingers on the glass part of the new bulbs, they will not last long at all. Oils and other nasty stuff deposited on the glass will create hot spots and cause premature failure.
If this is an issue, you can use rubbing alcohol and a lint-free wipe of some sort to clean off the glass just prior to insertion into the holder.
Otherwise, I might lean towards a wiring problem somewhere... perhaps an intermittent connection is causing arcing? You should be able to see burnt spots on the wires or connectors if this is happening. Also check your battery voltage with the engine running and the lights on. Use a digital multimeter and look for a voltage of fewer than 14 volts. It will be close to 13.6 or 13.8V at idle and perhaps 13.9V or even closer to 14V when the engine is running at 1500 rpm or above.
If the voltage is higher, the lamps will glow more brightly and fail sooner. I'm not sure how to remedy that, but it's an easy thing to check.
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