There is no screw to unscrew and they don't just pop off. I tried prying with a knife but just ended up stabbing myself. Suggestions?
Pry with a knife, without the stabbing part. Honestly, I used an Exacto to slightly open the end, then a small flat-head screwdriver to begin prying it open. They are slightly glued together, so heating may help.
I haven't had any trouble just popping the heads right off. I've removed most of the Aerialbots and Stunticons.