It's a big PITA as you have found out. If you look at the bar the headrest is on, you'll see one side has a groove in the middle. That's on the side you sit on, not the back of the seat. You need to slide a thin & flexible piece of metal down on that side. When the metal won't go down any farther, push the head rest down a bit and the bar will slip down and past the head rest lock. Then you can remove the head rest.
I used an old, dull hacksaw blade to remove my head rests. It's thin enough to slide down there and yet strong enough not to break.