I got my '09 Electra Glide Classic in July. Before I left the dealership with it, the sales manager programmed my PIN in for me, made me write it on a card provided with the manual and put it in my wallet.
Here's what my manual instructs....I don't know if this will work for prior year bikes.
1) Select a 5 digit PIN and write it down.
2) With an ssigned Fob present, turn the ignition key to Ignition-OFF-Ignition-OFF-Ignition.
3) Press the left turn signal switch 3 times.
4) Press the right turn signal switch 1 time. The current PIN will appear in the odometer, and the first digit will be flashing.
5) Enter the first digit of your new PIN by pressing the left turn signal switch X times (once for 1, twice for 2 etc.)
6) Press the right turn signal switch 1 time. Your new digit will replace the current on on the odometer.
7) Enter the second digit of new PIN by pressing left turn signal X times (again, once for 1, twice for 2 etc.)
8) Press right turn signal 1 time. The second digit of your new PIN should appear.
Continue this operation until you've entered your 5 digit PIN. After entering the last digit, and before the module rearms, turn the ignition key to OFF.