I have a LC-60LE835U SHARP 3D NEW, I did take the tiny plastic bulbs off, but I'm still having problems with the optical cables staying on, any help out there?

First, make sure it is lined up the correct way. Second, push hard until you hear a click.

Some really cheap optical cables don't like to click into place. Some won't at all. It's entirely possible it's just the cables. You can test both ends on another device just to make sure that it's not the cable. If both ends click into place on another device just fine, then there might be something wrong with your optical connection on the TV.

If it's within the return policy you could exchange it. Otherwise, if it's under warranty, you might have a difficult time getting this covered under warranty. Something physical like that is always difficult to get covered as a defect instead of abuse/accidental.