You're right! it does just unscrew unless it has been a over tightened. Hopefully not.
Once detached from the macro line a large Allen key should fit in the bottom cap (not the brass screw) and then with a quick quick nip anti clockwise the reg should unscrew from the body.
Sometimes the bottom can unscrew instead, this can be from over tightening the top cap into the body or the top cap being loc tited into the body.
If the right Allen key doesn't work then you may need to angle the marker in a vice in such a way that you can get a grip on the centre body of the reg (if you try this make sure you have adequate padding around the reg and neighbouring part of the markers body to avoid scratching the anno. Eg. Tough balsa wood, towel anything that will allow grip but won't break at the same time).