There's a plastic ring inside the leather boot that fits into a groove around the base of the shift knob. I've found it easiest to unscrew the knob (while making sure you don't tie the shift boot into a knot) and then pull the shift knob firmly out of the boot.
In England I'm sure the phrase "pull the knob out of the boot" would be blasphemous.
Ninja edit: Fitment depends on the knob. There are Subaru Momos that thread on, but most use adapter sleeves and set screws. Go for the thread on version. You can find it at various vendors, or the dealership if you want to pay maximum retail.