As wagon mentioned,
It can be a bit tricky but desperate times tend to call for desperate measures.
I've had to do it a few times and this method has worked for me, I sand or file the ends of the caps to almost bare metal, then I clip on an aluminium alligator clip to the side of the cap, this is to draw heat away so as not to melt the glue between the glass and the cap. I use an antimony solder initially to tin the cap ends, then pre-tin the wires with 60/40 solder, then bobs your uncle. Multicore antimony solder is 95% tin and 5% antimony not generally recommend for electrical use, more suited to metal fabrication, but it will mix with 60/40 pretty well.
Another more risky method is to get a metal sleeve close to the cap diameter, something like a BNC crimp ring, crimp the ring and the wire to the cap, but be delicate. then meter whilst wiggling the joint to ensure good contact,then heat shrink the ends leaving exposed glass for viewing.
Disclaimer...........This is all a bit dodgy but it has in the past given me time to get hold of the original blown component.
Others may have better solutions, all idea's are welcome as it can be a pain when this occurs.
Muttley