I haven't tried it on a TDI, but it works on a few other diesels and should work here. Get some PVC and a threaded nut that's the same thread size as the injectors. Cut the PVC just a little bit shorter than the injector, place it over the injector and tighten the nut down. Cost should be 5 dollars or less.
Edit: On the BRM it should twist out when wiggling it back and forth with a screw driver, I used a piece of wire to pull up while wiggling the injector.