I have done several Sigma 6 customs and I can help you out with your questions.
1. The heads can be removed using the boil and pop method. I heat up some water in the microwave for about 2.30 minutes and then give them a gentle tug. The only thing you have to worry about is stretching the neck peg or popping the neck peg with the head. This can be avoided by insuring that you heat the head long enough to soften it up, but not heat thing neck region.
2. The bodies are actually glued together. Some guys have managed to cut them apart or crack them open. I have never attempted this, though it is similar to the deconstruction of a 25th joe's torso.
3. Lower arms can be boiled and popped. If you want to swap the entire arm, you would have to crack the torso open or cut them at the shoulder ball and repeg them.
4. Joint rub can be a bear on these figures. It is a good idea to sand down the joints so that they do not rub, or create a mask of sealant or super glue over the paint at the joints.
Take a look at
http://www.joebattlelines.com/phpBB3/viewforum.php?f=45There are a wealth of Sigma customizers there. Good luck. I have found the Sigmas to be a fun medium. They are large enough to make painting in details like intricate camo patterns easier than the 3.75 figures. I hope this helped.