I have done both....bought the chrome ones on my 2011 Grand Cherokee. Now I have a 2013 Trailhawk and decided to painty inserts to match body color. Pretty tough since they are textured. I ended up buying another set for $20 and had the body shop paint them. Looks great though....all white!
I use a very small flat head screwdriver. Without touching the bumper (paint), press inwards and get the tip of the screwdriver inside the lip of the insert, then pull out. It will take a bit of pressure but you won't crack or break the insert. They are bendable to a point. I pry from the outside point of the insert....as you're looking at them from the front of the Jeep....the outer right on the right side and outer left on the left side. Hope that makes sense. It's really easy.....just don't use the bumper as leverage when you try to stick the screwdriver in and pry out.