replace the lamp above my right headlight

Sounds like someone else has had this same question on this forum. In my experience, though, you should be able to unscrew the dust cap from the back of the headlight housing where the connector is to replace just the bulb. I, unfortunately, do not have an Escalade in front of me to see if this is also the case. From looking around at a few different places, it seems it might take some more work.

Something else you might try is going to your local Autozone, show them the bulb that needs to be replaced, and have them take a look at it to see if it's a simple install.