Al - for a lubricant I'd try something like a teflon lube in very small amounts. The plugs are definitely difficult to get out, but with some patience it can be done. Another way I've found is to do similar to what Bill does (working between the edge of the module and the edge of the plug), but I use small hemostat or tweezers instead. I can grab above and below the plug, wedge the tweezers between the module and plug, and then use that leverage to work out one side, then repeat on the other. Easy to do and I have more control that way.
(EDIT: Ian beat me to it. What he does is what I do)
Jacob - the advantage of using a board to solder lights is that it keeps everything nice and clean. If you are using LEDs you can solder a SMD resistor to the board and then have the LED magnet wire go off from there. I've also used a scrap piece of brass stock (from a sprue for brass detail parts), glued it down somewhere, and then soldered all the lighting wires that connect to the blue common there. Again, easier and cleaner.
-Kevin