They are just little tube worms. Although occasionally they can disperse a nasty little web that may upset surrounding coral. At which point you can try and remove them. However, I believe they are pretty hard and take some chiseling to get off.
Yea, rarely did we ever see the tip of the worm come out but we took screw driver to the one we had because it was spraying our corals with its web and just wasn't playing nice.