I wouldn't peel the caps; the lug nut under them is typically open ended, and ugly. Just keep your rims clean when you're not in the bush, make sure you rinse out the holes where the lugs sit. They do keep the stud/lug nut clean by having that cap on them, but through being taken on and off a few times, the cap gets a tiny bit loose and corrosion and debris find their way in there to build up and swell it.
If you can get the lug nut off, it's easier to peel the shell off when it's off the vehicle, you can cut it with a rotary tool, or a sharp chisel. As I said, I don't recommend running the nut without the shell; open lug nuts look cool on a sports car, but I would dread taking them off a truck that has seen a few dozen water crossings etc. I know how stuck hub-centric nuts on medium duty trucks can get... I've had to put them back on sans-shell while we had parts on order from time to time though.
An ideal solution would be to go to an aftermarket capped lugnut that is solid material instead of having a shell on it. Make sure you stay the same size for the head though, many aftermarket lugnuts are smaller so they fit the bore of an aftermarket rim better. But really, if you kep your rims clean it shouldn't be a huge issue unless you're in the rust belt anyway.