Removal/Replacing Upper Front Sway Bar Link Volkswagen?

When you're talking about "coming out or going back in," are you referring to getting the nut off of the link? You are right that there is nothing on the back to hold onto to keep it from spinning, but if you look closely at the threaded end you'll notice that there is a provision for a hex key to keep the ball joint from rotating. You shouldn't need to use a pickle fork to separate the ball joints from the suspension components, it's really just the nuts holding them on there.