I wish I had done so last year because all new leaves would look best. I did not and I may not this year because it may be too time consuming, and I may need to focus on manuring, fertilizing etc. If you have time, go for it! I wouldn't on Tea roses that have great foliage, but on more old, ratty foliage on other roses.

Yes, remove the leaves. Pest eggs and spores seek protection where the leaves meet the canes and stems. Hose off the bushes after you've pruned and removed the leaves. Most of us warm-winter growers have a very, very short window to spray a dormant oil spray and water works fast and easy.

Should I yank off or cut off the leaves?

If they don't separate easily, cut off, so you don't injure the stems.

Go ahead and take all the foliage off. If it doesn't come off easily, I pull up on it and then pull down. If it doesn't come off, I'll cut it off. After pruning and stripping the foliage, I clean the beds of all the old mulch. Clean roses, clean beds. Water everything down good and let it sit for for two days. Then put down organics (for my garden I use compost made from mostly leaf matter mixed with Black Kow). Then I put down my mulch and water everything down good. New year, everything clean and new.