The trick is to use relay puller pliers. []
Other than that your wiggle-and-pull method is what usually does it.

 

if i dont have pliers available i use a cheap plastic spudger (plastic pry tool) if you decap a relay just pop the cap back on if you break one of the tabs that lock it in place a drop of superglue on the 4 corners of the lid will stick the lid back on the base of the relay if its still good

 

This ^^^^^^. Question why are you pulling relay's.

 

You commonly pull them when checking circuits, often testing involves bypassing one with it out of place.

It's actually good when they come out hard but not when you break them of course. The tighter they are the better the spade contact does not melt the thing.