I've always took the hub bolts out first with mine and i've never managed to pop a shaft out, never really thought about it though so i'll be more careful next time!
Every job on the car always takes twice as long as you think, I remember when I fitted my alarm thinking it'd take me a few hours max. Started at 2 finished at 11.30 that night, had never fitted one before and it works so I was very pleased with myself. A trip to the fridge/pub is always in order after these ordeals.