Well, figuring the hubcaps would just pop right off, I purchased new hubcaps for my 96' lantra wagon. I then attempted to pry the hubcaps off, but without any luck.

Do the lugnuts need to be taken off the wheel in order to take off the hubcap? If so, that would be some pain in the butt.
Any help would be much appreciated.

yup, the lugnuts hold the caps on.

Advantage of the design: Hub caps are not easily lost/stolen.
Disadvantage: More labor required to replace one.