It is by no means an easy task. BMW says that you will damage them if you take them out because of the way they are designed. The metal rods that come out of the headrest (that go into the body) have a sharp groove on them to prevent it from being taken out.
Kind of like this
| | | |
] [ ] [ - groove
| | | |
you will have to pry while holding the button down that is by the base of the headrest. It helps to have a friend pushing the buttons while you pull (with the top down for more leverage of course).
It feels really awkward and strange how much force would be needed but they do come off. Do not pull on the rear flap part, I used the sides with my fingers under the bottom parts.
I know it can be done because I replaced the plastic vents that cover the roll over protection because it was broken when I bought the car. To get them back on just requires tapping them down past the groove and clip system in there.