Its very easy to do on the HDi really. Yes you unscrew the big plastic nut surrounding the top of the filter housing. You might need a strap wrench if its tight, as they do tend to be. However first thing to do is unclip all of the pipes from the filter housing lid and make sure no fuel is leaking out. Then remove the lid with the big plastic nut and the filter will lift out with the lid.
Now what i always like to do is remove the fuel which sits in the filter housing with one of those oil sucker thing, however if you dont have one then you could always drain the fuel through the drain plug on the bottom. However you sometimes get a few very small metal filings in the bottom of the filter housing, the sucker sucks them up but they may well drain out with the fuel. Im not sure why these filings are there but on some cars you do find them. Its vital not to get any dirt in anywhere, so using an old rang to clean it out isnt a great idea.
Finally i pop in a bottle of forte diesel treatment into the housing with the new filter element and connect everythig back up. This means it takes less time for fuel to prime through, but having the forte in the system without it being diluted with fuel does it the world of good. I use fuel system cleaners (only forte mind) on every service, sometimes more often, and after a good blast i can really notice the difference in performance and economy.
I always think the fuel filter is an often overlooked item on a service, i like to change them every 20K miles usually, sometimes less.
Edit: just realised you mean youve already done it, ah well
