Yes, you have to drain all of it. The thermostat is on the very bottom of the engine so taking it out means that 100% of the coolant will be coming out of the radiator and the block as well. This is good though, as we don't suggest a normal 50/50 ratio with it. For best efficiency, we usually suggest running 25-33% coolant, 75-66% distilled water, and some Redline Water Wetter (or equivalent).
Here's a link to a DIY that I typed up back when I purchased my Coolsafe T-Stat a few years ago (you'll need to be signed in to view the pictures): http://www.wrxfanatics.com/index.php?showtopic=17723