They are often epoxied in, and need to be heated to soften the glue. If this is the case I would not recommend doing it yourself unless you are very sure you what your up against. you might want to ask some of the cu-makers here that do a lot of repair work about it. KJ and Ryan come to mind.
Heres how Paul removed them
All of his weight bolts are glued in, he used a soldering iron and slowly heated the weight bolt up until it would come loose. He applied heat to it for a few minutes then tried to unscrew the weight bolt. (warning do not overheat the weightbolt for this may cause damage to the buttcap.) I watched him remove one for me.