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If it is an on/off thermostat that may be your problem. Dimming thermostats are much better with bulbs. I have been using the same globes for over 12 months with no problem since i stopped using the on/off type. Higher wattage bulbs tend to blow more often also, but in a 40w you shouldn't have a drama.
I normally use urs or exoterra infrared bulbs (ES type not bayonet).
I would try a different bulb, and if your still bowing them buy a dimming stat. Buy quality not quantity i say!!!
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