It is rather tricky. I've found that putting my thumbs toward the edge of phone rather than on the edge closest to the silver band in the middle seems to work better. This was shown in the sticker on the back of the phone, but it didn't seem to work for me very well the first time I tried it. Oh, and I find I have better luck if I wash my hands first to get rid of any oils on my fingers.
What I find works for me is to first either lock the phone or turn it off so you don't accidentally dial.. then put the phone on your leg face down, and using the base of your palm, slide the back off.. it seems to work well.
On a related note, does anyone else have a problem with the OS losing track of the memory card? It made a folder in the file system called Storage Card, but it isn't the card.. if I turn the phone on w/o the card, then turn it off, and put the card in, it will usually find the card.. but when I turn a day or so later when I try to access the card, it isn't there.. any ideas?