Completely removing them is definitely more trouble than its worth, and will leave you with an empty spot on your steering wheel. The air bag is a sealed unit and the cover is not a separate pice. On the passenger side the cover is a separate piece but I think it attaches to the airbag itself so you have the same problem.
If you are untrusting of just unplugging the control module, you can unplug the air bags themselves, the drivers side plugs into the clockspring and the passenger side has a yellow plug that you can access by removing the top piece of the dash.
My understanding though is that unplugging any part will kick the airbag light on, and if the airbag light is on, none of the airbags will deploy.
Also, FWIW, I've totaled two XJs and I've yet to have the airbags go off. One was a rollover (so not really surprised) and one was me running square into an idiot that ran a stop sign right in front of me at about 30mph. I rolled him. No airbags. If the airbags go off, you probably want them to.