On a non-Si, you don't have to remove the hub.
On an Si, you need to pull the hub away from the steering knuckle with a slide hammer. Only pull it out as far as you need to, not all the way, or else you will need to remove the entire knuckle, possibly buy a new wheel bearing, and have everything pressed in and out on a press. When you try and hammer (air chisel with flat hammer attachment preferably) the wheel stud out, it will hit the knuckle behind the hub if you don't pull the hub away from the knuckle. I've replaced them before. If anyone says it can be done without pulling the hub away from the knuckle, they haven't done one before.
You need...
...which can be found
here.