The shark fin antennae is attached between the headliner and the roof.
You don't need to remove the headliner, but you do need to drop it down for access.
Getting the clearance to drop the headliner down is the BIG task, so know that up front.
Here we go....
IF YOU'VE GOT A 4 DOOR:
-Remove seat bench
-Remove 4-door side upholstery (both sides; there are slightly different procedures for removal with or without rear side airbags)
IF YOU HAVE A 2 DOOR:
-Remove seat bench
-Remove backrest (both sides)
-Remove upper B-pillar trim. (both sides) (Belt anchor or belt anchor rail do not need to be removed)
-Remove door sill trim (both sides)
-Remove side trim (both sides)
Now that you're done with the specifics, this part applies to all vehicles
-Remove luggage compartment cover side compartment (both sides)
-Remove roof end strip
-Remove airbag emblem and remove screw (both sides)
-Remove C-pillar trim (both sides)
-Remove both rear interior grab handles as applicable.***
-Carefully lower molded headliner slightly in rear area.
-Remove nut (just one nut holds antenna in place)
-Disconnect electrical connections
-There is/are short cable(s) to connector(s) nearby, break the connection there.
(1 to 3 wires / connections depending on equipment and model year.)
*** Note that there is a potential for trouble when removing the grab handles. During factory assembly, the handles are mounted to their retaining clips before the headliner is installed. The clips are often distorted when the headliner is later put in place. It is possible once a handle is removed - the screws will not go back in to re-install. When this occurs, the entire headliner must be dropped, the clips replaced and the handles attached before re-installing the headliner (as per VW TSB).
Good Luck!
EDIT: Oh, and you're gonna have about a 3/4" by 3/4" hole in your roof afterwards....as far as I've seen, there's no "plug" for it.