Back to your original question, yes you should pull out as much as you can. There are a couple of other animals you could try as well, a diadema urchin and a sea hare. They're pretty good with filamentous algae.

Try dripping KW right into your skimmer intake. That's pretty good at binding phosphates in the skimmate, according to Ron Shimek anyhow. The only tank I've ever had any problem with hair algae in was the one tank I had running without dripping KW.

I've had mixed results with the phosphate removers. The best one I know about is called rowa-phos and it's very pricey. Plus you need a "fluidized reactor" which is just a fancy name for a small canister with the flow from the bottom up; not too much flow.