What you are doing is removing the wires/pins from the connector, and replacing them with wires/pins from the harness that comes with the XM Kit.
The pins have a release catch that will allow you to pull the pin/wire out of the connector when depressed. I used a small jeweler's screwdriver. Take a look at the pins on the XM harness to get an idea how it works.
The wires/pins that you removed from the factory connector will be reinstalled in the 4-pin connector supplied in the kit in step 14.
Clear as mud, right?
