You will need to keep the bulbs in for the needles to light up, so yes, you'll leave the bulbs in place. You'll need to tap the power wire into one of your fuses (i'll look up which one), or your cig lighter works too, and then find a good ground. There's a bolt on the fuse box you can use.
FC Gauges w/ Contour needles (pics)
2005 Gauge cluster removal
HOW TO: Install Glow Gauges (6 color)
I have those same gauges and love them. You won't regret getting them.