The headrest is held in position by a spring loaded ball detent that locks into holes in the bracket/column, and prevented from being removed by a pin at the base of the bracket.
Here is how you can remove them with a length of wire coat hanger.
When you push the headrest and coat hanger down together the wire is forced into the locking bracket forcing it open, when you pull out the headrest only the wire continues to hold the spring loaded bracket open allowing the pin at the bottom to pass. There's a bit of a "trick" to it, but once you've done it a couple times you will be surprised how easy it is--I have removed a couple dozen of them this way
Putting them back in just requires pushing 'em down into the seat back...