Sorry, I'm a little bit lost here. I'm not sure what you mean by side light? Is it like high beams (pull the left side steering wheel stalk and the lights get bright)? If thats the case and you have a new bulb in, then the problem is most likely relay related.
Hmmm, do european Saabs have daytime running lights? IIRC they don't. Are you talking about the lighting that just illuminates the headlight lenses? If thats the case and one of your lights aren't working, its probably the little tiny bulb within the headlight casing. I'm not exactly sure how to remove that, but it's not the headlight bulb itself that creates that small illumination, its a very small bulb. If you look through the lense you can get a general idea of where it plugs into the assembly, and then find it on the back side and replace it.
The side lights should be the small W5W bulbs that sit just below the headlight bulbs. I don't think the heat is good for them, since they tend to burn out pretty quickly. I replaced mine with some LED bulbs that will hopefully last the life of the car.