Yeah, I just broke mine off (brand-new set of wheels!) Also, the pins are different for the 2-6-2 than they are for the 0-6-0.  They have a hex shaft to prevent the extra-fancy linkage from free-spinning.  And there is a teeny-weeny, itty-bitty, little retaining clip that holds the entire assembly on from the outside so you shouldn't have to remove the 2-6-2 pins from the wheels.  I found that out a bit late.  Furthermore, the 2-6-2 wheel set I ordered came with the pins installed but no retaining clips.......of course I lost my old ones right off the bat.  They flew off into carpet heaven. 

I ordered and received a set of 2-6-2 drive wheels.  I had removed the linkage from the old set by prying the connecting(?) pins from the rear-most drive wheels.  They were a press-fit. 

So when I received the new set, I tried to do the same (they were already installed) so I could attach the old linkage.  They were extremely tight, so I thought maybe they were screw-in.....so I tried unscrewing them. Well the pins just broke off ( $12.00 bucks shot!).  Also, the pins didn't come with the itty-bitty, teeny-weeny, little retaining clips.  So what am I supposed to do?  Can I get the the retaining clips?  I can see that (a little too late) if I had those, I wouldn't have to remove the pins.

Thanks