Some of the old freewheels are almost impossible to remove without removing the freewheel from the hub. It is better to not remove all of the sprockets at the same time. A sprocket has to hold the freewheel in place until you get to the one you want to remove. Freewheels with threaded sprockets have built-in spacers which can only be installed in one direction.
The Japanese models are attached by splines instead of threads. These freewheels are easier to service when you need to replace the sprockets. Shimano offers splined pullers, quality freewheel removal tools.
When reinstalling freewheels, introducing grease will make the removal a lot easier when the time comes. Freewheels should also be oiled periodically. You can accomplish this by tipping the bike and applying oil while turning the pedals. Once per year is probably sufficient unless the bicycle is used in very dusty or dirty conditions.
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