I went through a similar procedure installing e-spec lights on my Audi. By running separate relays for each light (a total of four, one for high and one for low beam on each side) i was able to avoid getting a bulb out signal, (of course if the bulb actually were burned out i wouldn't get a signal either, but you usually can tell when you have a headlight out). Might have been overkill but driving with the light out indicator on all the time is really annoying and you would never know if a bulb really did blow (like your brake lights)

Good luck,