How do I take out this pin from an axle connector?
I usually attach it to a Technic beam, then put something to fill the hole so it can't squeeze together and come out, to give a handle.

The flexible rods tend to be a nice options for filling the hole, the older ones may be a bit better, but I've had success with other pieces that fit minifig hands. 



Once you have the blue pin attached to the beam instead of that red piece, you can take the rod out and push it out with an axle or something if needed.