With an oven, sure. But then you will need to reseal them. I wouldn't do it just to put a strip in. There should be enough room for a side emitting LED strip in between the headlight and bumper. Unscrew the screw holding bumper to fender in the wheel well (front of wheel) and then pull OUT on the bumper. It just clips in a plastic piece right next to the fender. You should be able to access more of the headlight this way, but you may need to undo more fasteners to get to the part of the headlight closer to the Mazda emblem, not sure.
