I had a set of Ultegra SPD-SL pedals that were a royal pain to get into for several months. I did loosen the cleats somewhat (forgot how I did it) and it helped some, but it gradually got a lot better with use.

Ironically, the cheaper Shimano R540 or something pedals I got on sale for $40 at Nashbar are SPD-SL and work flawlessly.

SPD-SLs are good stuff though - if the problem persists, it suggest something is off with your pedals and might be worth a trip to the LBS for a lookover - might cost you $10-$15 for a fix, but is worth it.