We did this job back in winter of 2011/12. Our cutless bearing was similar to yours, eg., in the dead wood of the keel, in a cutaway of the rudder. It had no set screws.
We tried forcing the press fit out using the threaded rod, washers, nuts, curses and sweat method - no joy. We had to resort to Plan B of using a Sawzall with a fresh metal blade. It wasn't pretty but it came out with minimal damage to the stern tube. If you go this route make sure to clean out the stern tube well before trying to press in the new bearing. I've read that freezing the new cutless in dry ice can help shrink it when you go to install. We didn't try this. We didn't even use dish soap which would have helped. Pressing the new bearing in was a bytch.
We also cut our shaft inside the boat, behind the engine. Made getting both the prop and coupling a lot easier to remove from the shaft pieces.
Long winded version here: 2011, November 30th. Begin drive train rebuild | Odalisque