"Sometimes the seed cap gets stuck unto the cotyledon leaves and if left on will cause the seedling to fail. This happens when the seed wasn't planted deep enough. Moisten the cap several times with a drop of water. Carefully hold unto stem and try to remove with tweezers or knife blade. If the seed is large enough you may be able to hold on the the seed cap and lift an edge with a knife blade to help it off. If you damage the plant don't feel too bad because it probably wouldn't have made it with out your attempt anyway."

The above quote from:
http://www.homeandgardensite.com/seed_starting.htm

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H. Kuska comment: I normally try to remove the stuborn ones, but sometimes I kill the seedling.

The link below may help you develop a technique.

Here is a link that might be useful: a-photo-guide-to-how-to-remove-stuck-seed-caps

Thanks for that link. I used the squeeze method and it came off easily. It would have broken my heart to lose the seedling.