Yes the speedo drive has to come out first. In theory it just pulls out, but it's often not that easy. No doubt they can sieze in the gearbox case, but more usually the plastic bevel gear is all chewed up and jammed on to the half shaft, and that prevents it coming out easily. In that case you often have to bash it enough that the plastic gear falls off the end of the speedo drive, and then you'll need to open up the gearbox to fish it out. A pain.
More of a problem is that once you've got it out you can't really just swap the half shaft for one from an electronic speedo box. The diff clearances are set by the shims between the half shaft bearing housing and the gearbox case - you can see them on the outside of the box. If you change a half shaft you need to reset the diff clearances to spec, breaking out the dial gauges and so forth. If you don't, the diff will likely be toast in no time. Please don't ask me how I know.
The best way to do what you want is to whip out the half shaft, pull off the bevel drive gear, replace it with a phonic wheel, and refit the same halfshaft. This is fairly straightforward except for the special tool needed to get the retaining ring off the half shaft. If you can find someone with the special tool, then I'd go ahead this way. Sounds like Alfa Tuner has the special tool - mentioned above?