I picked this up for my nephew, but I wanted to make sure that I'd be invited back, so I decided to disable the siren. All you really have to do is open it up (two screws I think), find a wire going to the speaker, and cut it. I got a little fancier and put in a magnetic switch, so when he's playing outside we stick a magnet on top (with velcro) and he gets to run around screaming, but when he's inside it stays nice and quiet. It's been a great hit, he wears it all the time :)
If you search on Instructables, you can see the full project I did ("Silence a Toy with a Switch").