It can be done, but it's tricky. There's just a single bolt/screw holding the headrest to the seat. It resides under the leather near the top of the seatback. You should be able to pull the leather cover down enough to access the bolt. Once removed, you will be able to remove the headrest. The tricky part is getting it back in while retaining perfect function of the height latch. This isn't a huge deal though, as you could always stick foam under the headrest to keep it at the desired height. Also, if you are using thick seat covers such as sheepskin, they may be enough to keep it from falling.
An nice alternative are the covers sold by Rocky Mountain Sheepskin, www.rmssheepskin.com . They sell covers custom made to fit the Saab seats, and they modify the top by making a slit in the top, then lining both sides with velcro. In this way, you open the top, slide it over the headrest, then close it back up. Once installed, you can't see or feel the velcro at all, and the covers fit the rest of the seat excellently. They're a little pricey, but still reasonable (less than $200 a pair), and the fit and quality are excellent. I bought separate headrest covers from www.sheepskin.com .