Compared to most other car maintenance, it's relatively easy and inexpensive to replace light bulbs. So do it. You should know pretty quickly if your headlights or high beams burn out since you won't be able to see, and the turn signal indicators on your dash should clue you in if something's wrong there. Running lights, taillights and brake lights aren't quite as obvious, so just take a look every now and then.
And when they do burn out, pull out your owner's manual and replace them. It's not hard; it's not dangerous. Getting pulled over for a burned-out light is just extra stress you don't need, and getting hit because another driver couldn't see you is just ridiculous. Both of these likely outcomes will be a lot more expensive, too.