I have one. Take the barrel clamp off by compleley removing the screw and be careful not to scratch the finish of the barrel.
Be sure to tighten it well else it becomes loose when shooting and jumps around, which can also damage the finish, but you won't see it as the clamp covers where it wears off.
Wnen reassembling, pop it as explained here so as to keep a coil of the spring from being caught between the magaizine and the extension. http://www.aiptactical.com/Page_2.html
I also recommend polishing the chamber as instructed on that same page.
The 870's with the factory extensions do not come with the internal cap mentioned by DPris.