Hi Edward,
Yes they do unscrew!
I wouldn't replace the control arm shafts unless they are worn! Some of these can be a real bugger to get out!
If you have a FE-FC workshop manual it is explained in detail in section 3-15 page 68,69,70 (Its basically the same for HR control arm shafts.) If you've got a HR workshop manual it is explained in section 3-18 to 3-19.
There are a couple of special tools required for this job that you may have to borrow or make to do the job properly.
Hope this helps.
Regards ACE