Our cars have "TPMS" (Tire Pressure Monitoring System?/Sensor?) units attached to the rim. I'm 95% sure the valve stem and the TPMS unit are one and the same.
Did you get rims as well? If not, I think you just leave the rim and TPMS as it is.
I've talked to a couple people at tire stores; they made it seem like removing the TPMSes is pretty straightforward (remove a nut and pull it off kind of thing). So, if you are getting new rims as well you should be able to get your stock ones off and reinstall them on the new rims.
I've heard that you have to do something special when you mount/dismount tires with rims that have TMPSes so let the shop know that they're there.