Frankly speaking, the vanity lights are not commonly used but if you are a car enthusiast who have already converted all your car interior lights, side door lights, trunk area lights, license plate lights, etc into LED already, then probably you want to also change these "last" yellowish stock filament bulbs to LED as well.
Ok, I am sure you got this idea already and here is a very brief installation guide base on a Mazda for LED vanity mirror lights (sun visor lights)
Step 1: Find a small flat head screw driver to pop off your vehicle's vanity light cover. Please be very gentle since this vanity lamp is right next to the sun visor mirror and the mirror is very fragile and I am sure you don't wanna break the mirror
Step 2: Once the vanity light cover is removed, you will see the OEM 6641F bulb inside. Because the only way to turn this vanity light off is to close the lid and when the lid is closed, you can't reach the bulb anymore. Therefore you have to remove the OEM vanity light bulb when it is "ON". Be careful the bulb can be really hot and please please don't get your finger burnt. You can protect your fingers with some napkins or use any non-conducted sticks such as a toothpick or even a ball pen to jack the bulb off
Step 3: Once the OEM bulb is off, wait a while until the lamp cools down, then you can install back the LED vanity light bulb. Since the LED bulb is polar sensitive, if the LED bulb does not light up in the housing, simply remove it again and turn 180 degrees and try again.
Step 4: When you see the LED lights up, put back the vanity lamp cover and enjoy your new LED vanity lights and now you can officially claim you have converted all lights to LED for your car!