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MarMema, That's true, it's usually just removed for display. Although the photo with the gun to his head gave more imagery to the CNN report.

This is the most comprehensive information they put on their website about what to do with those pesky heads, once they are removed. As you can see, it is a subject they have struggled with.

"Study One (D): The Permissibility of Moving/Transporting the Corpses/Remains of Unbelievers - There are two positions that have been reported in this regard. The first is that of the rightly guided caliph, Abu Bakr, may Allah Most High be well pleased with him. In his book "Assunan Al Kubra", Imam Bayhaki states: "Chapter on what has been reported about the moving of the heads of unbelievers: Amr Ibn El'aas and Sharhabeel Ibn Hassana dispatched Uqba to deliver the head of Yunak, the Patriarch of Damascus, to the caliph Abu Bakr. "

"When the head was delivered to the caliph, Abu Bakr showed his displeasure. Uqba responded to this by saying: " Oh Successor of the Prophet of Allah, peace be upon him, but they do the same with us! (decapitate Muslims). Abu Bakr rebuffed Uqba's argument by saying: 'Then should we take example in the methods of the Romans and the Persians? There is no need for you to bring me this head; informing me through correspondence will suffice.'"

Muawiyah Ibn Khadeej and Abd Al Kareem Al Jazari have also reported the position of Abu Bakr. Al Zahri has stated the position of Abu Bakr and has stated that no head was ever delivered to the Prophet, peace be upon him, in Medina.

The second, and more accurate, position confirms the permissibility of moving the remains of unbelievers. Ibn Jarir reported in his encyclopaedic work on history: "Men from Bani Makhzoom reported that Ibn Abbas said: " (on the battlefield of Badr) Abu Jahl (the wounded chieftain of the unbelievers) told me: ' You shepherd, you have risen to a lofty but difficult position.' I ripped his head off and took it to the Prophet, peace be upon him, and said: 'Oh Prophet of Allah, this is the head of enemy of Allah, Abu Jahl.' The Prophet, peace be upon him, was pleased and said: 'All praise be to Allah! there is no god other than Him."

This story has also been related by Imam Ibn Hajar, and reported by Ishaq and Al Hakam.

Imam Al Dahabi related the following story: "Ibn Zubair said: 'Jarjeer who led an army of 120,000 attacked us in the province of Nuba (Africa). We were only 20,000. At first, the men consulted with our commander, Ibn Abi Srah who went into his tent to make a decision. During this time, I glanced from afar the head of Jarjeer; he was behind his troops and was shaded by two concubines who protected him from the sun with the feathers of an ostrich. I (asked) our commander (to make an attempt) at Jarjeer. He accepted and I chose thirty cavalrymen to join me.' I told them to protect my back; I broke through enemy lines and appeared in front of Jarjeer. At first, Jarjeer and his entourage thought I was a messenger, but when he realized I was after him, Jarjeer attempted to run. I caught up with him, decapitated him and placed his head on top of my spear. I yelled 'Allah u Akbar!' and the Muslims attacked as the enemy collapsed and fled."

Yusuf Al Hanafi has reported that: "Abd Allah Al Daylami approached the Prophet, peace be upon him, with the head of Al Aswad Al Ansi the Liar. We brought the head from Yemen so that the Prophet would witness (a symbol of) the victory of the Muslims." Yusuf Al Hanafi comments on this by saying: " These examples confirm the permissibility of moving the heads of the unbelievers from country to country so that people may know the defeat that befalls (those who fight against Allah and His Prophet). " And Allah says: "And let a party of the believers witness their punishment." [Quran 24:2]

Al Hanafi continues: "Abu Bakr's displeasure (with being presented with the head of the unbelieving chieftain) was a result of his own judgement, at that time, that such a move was unnecessary. Battlefield commanders, such as Yazeed Ibn Abi Sufyan and Uqba Ibn Amer, did not bewrong this because they viewed it as giving glory to the Religion of Allah and humiliating to the infidels. Hence, the decision on such a matter is related to the judgements of the scholars who must decide if such a move is beneficial at that particular time. They must also decide against it if they feel it is unnecessary."

Imam Shawkani says in his book Asayl Al Jarar: "As for those who show their displeasure with this, I say if carrying the heads of the enemy strengthens the hearts of the Muslims or weakens the unbelievers, then there is no objection to such a move. On the contrary, it is something good. Moreover, the fact that unbelievers are deemed unclean (Najis) by Divine Law, does not nullify the permissibility of moving the remains of the unbelievers during times of war; after all, strengthening the army of Islam and terrorizing the armies of the enemy is an unquestionable goal of Divine Law. The permissibility is also confirmed by the fact that this happened during the time of the companions."

During this war in Chechnya, we have exchanged the heads of 14 Russian soldiers for the bodies of three of our brothers. We see no wrong doing in this and do not accept those who deem this unlawful without referring to evidence from the Quran or the Sunnah."
From www.qoquaz.net reprinted here without permission of the oinkers, er I mean authors.
Now I stand on my opinion from here. They have killed him by removing his head and his wife or the WSJ has a head coming in the mail sooner or later. My guess is the WSJ. Could be a videotape will be included as well.