I would check the O-rings on the bulbs/sockets. The blinker one is known to snag. You also need to think about how humid it was outside when you installed them.
These headlight units are not completely sealed. There are two vent hoses on the back for moisture evap contol. Just drive around for a while with your headlights on, or leave it parked in the sun for a day so they get nice and warm and the moisture will find it's way out.
BTW, this is VERY normal when changing bulbs, too.
