One of the most common causes of premature lamp burnout is excessive voltage to the fixture. Your FX lighting system is designed to operate at between 10.5 volts and 12 volts. 

Optimally, each fixture and lamp would be fed close to 11 volts in order to maximize lamp life. If a fixture is fed 14 volts, it will burn out 7 times faster than normal.

Consider using a voltmeter to ensure your fixture is not receiving too much power.
Using caution, touch the probes of the voltmeter to bare wire. The safest place to do this is by inserting the probes into the wire nut, illustrated below. On your voltmeter, red means positive (+) and black means negative (-)