Budgetboy, Yes, the issue occurs when I try to take the Shure olives off. One solution I found was to use a threading tool from the hardware store to give the inside of the tip a spiral groove so the tips can be "unscrewed" from the IEM nozzles. This improved the situation.
Then I switched to Comply tips since they fit me better.
I haven't heard of any way to purchase a selection of the Shure tip sizes. I'd start with the medium, then see if you need the larger or smaller.