And don't touch the new bulbs with your fingers when you put them in. Because Halogen bulbs get hotter than most bulbs, the oils on your skin can cause problems with the bulbs not lasting as long. At least that is what I have heard, and most Halogen bulb makers say this as well.
As a side note, I have what appears to the be exact same light. Mine is a Craftsman from Sears. I like it because you can detach the two lights from the extension pole base and put the lights on the floor or where ever you need them to be.
I have always replaced the bulbs by holding them with a paper towel and then putting them in. I did notice when I first got the light that one of the sockets for one light was loose and the bulb was not as tight as it should be. I had to squeeze the socket together with a needle nose pliers just a bit to get the bulb to fit snug. Maybe that is your issue with the bulbs not lasting long. Perhaps one of the sockets is loose?
But an LED replacement bulb would be cool, but I have never seen one that goes up to the equivalent of the 500 watts that the Halogens put out. Who knows, maybe in a few years...
Jim