Definitely use smaller stitches.
What I have done in the past when something is persnickety, is to hold a ruler ON the seamline and run the back of a seam ripper (the dull side) along the ruler to score the seam line a little more. If possible, rip the paper along the ruler.
I also find that spritzing the stubborn bits with a little water (small spray bottle) helps. It makes the removal a little bit messier but still better than leaving the paper on.
There is no right or wrong way. Just see what works for you.