Havn't tackled this one yet but i have hears of using a dremail tool to grind it of and most say to just take it out to grind the weld off(count the turns while you are removing it!)

 

No need to take a grinder to it. The collar isn't really welded onto the screw and it is very easy to pry open and remove with a screwdriver. I didn't believe them either, but just removing the screw is the easiest way. I had trouble getting the setting back, but after a few tries it worked out fine.