They just slip over the pickup.
If you want to change covers/colors loosen the strings enough to pull them out of the way. Then take out the 2 height adjusting screws. Pull the pickup out, swap covers and then replace screws. The tricky part is getting the springs to stay on the screws when your re-mounting the pickup. A very small piece of masking will hold them in place. FYI the screws go between the bottom of the pickup and the bottom of the pickup cavity. Remember... Don't force anything. Pickups don't like being forced in any manner! Hope this helps.
OK, those videos from Jason Loller are great. I've done plenty of pickup swaps but he really takes you through it and gives confidence that you could do it. Makes me want to seriously put him at the top of the list of people I'd call for a set of custom wound pickups (although I'm not sure if he'll displace Lindy Fralin in my view of the best pickups going).
Definitely worthwhile to browse through all the videos that Loller put up there.