Hey aussie230sl,
Grime can block the little hole of the knob too.
The light bulb fits into the base of the rheostat. Have you checked the connections to make sure there is continuity?
I think the bulb is held in place by a metal clip rivetted to the body and can be rotated.
You rotate the clip aside enough to remove the bulb then clean everything to create good contacts and then try your old bulb (after cleaning its contacts too) before installing the new one.
It is a very low wattage bulb, something like 3Watts, could be 4 Watts.
My light works but it is barely visible unless I look directly at it.
I think there was a discussion about these bulbs a while ago. If you do a search from this page on Fan switch etc you will find something to read.
Where in Oz are you?
Bob Smith (Brisbane,Australia)
RHD,1967 early 250 SL, auto