You should remove the shrink wrap quickly after taking the pens out of the oven. Shrink wrap can become more difficult to remove as it cools.
I wear heat-resistant gloves so I can remove the shrink wrap and sublimation print while the sublimation pen blank is still hot.
Because of how small these pens are they cool very, very quickly. Thankfully the shrink wrap that came with the pens is sort of perforated so that is helpful.
You can see that on the first pen, the floral sublimation is beautiful.
The more the pens cool, the harder it is to get the shrink wrap off. These aren't horrible but not what I would call easy. If you can remove the shrink wrap as soon as it comes out of the oven that would be best.
Removing the shrink wrap from all four pens did take a long time. Don't allow it to cool if you can avoid it.
Note - when hot, the shrink wrap was really soft. I would keep the pens separate in the oven so they don't melt/stick together.