As JRY309 said, the saran wrap trick works great. For an adhesive, I use Easton Quick HIT glue. It's black, and it's messy, but it holds REALLY well, and sets really hard. It's ready to shoot in about 10 minutes. If you're using the new Easton Axis or Beman MFX (the micro diameter shafts), you'll want to leave you arrows horizontal while the glue is drying, or your inserts will slide in the shaft...It's worth giving a try. BUT, if you're going to use it, make sure your arrows are tuned before you glue the inserts in, or you wont get them back out.
If you do HAVE to pull an insert, the best way I've found is to put a large field tip in a vise and heat the threads until they're red. Then, screw the arrow onto the tip and apply firm, constant pressure. This is by far better than applying direct heat to the shaft, but try to avoid it if you can. As most carbon arrow manufacturers state, any form of extreme heat can cause carbon to lose its structural integrity and become weak.