I had this same problem just a few days ago with my lesser. I tried soaking her for 20 minutes but the stuck shed was absolutely not coming off. I tried the water & towel in tub w/ holes trick but she just curled in a ball and wouldnt move around. I had to resort to soaking her in the bathtub for close to 60 minutes, twice. I used a damp towel like suggested to rub it off as well as using my hands to slowly peel the loose parts. It was probably pretty stressful for the snake but Im sure shes happier now. I havent tried the wet pillowcase method, but it sounds like it would work. Good luck !