Out of season now, so you shouldn't be shooting them. On the other hand, if they are a pest then I believe you can! I'm not sure if that applies to urban type homes or if it is just commercial premises and farms, but you could try and catch them with figure four trap on a bird cage made from criss crossed sticks. I heard that gamekeepers use this method. Failing that, get a bag of seed and feed them up, it wouldn't cost you much and if you enjoy them visiting then encourage them. Set an area aside for them so that they don't purloin the song birds feed. You never know, they may stay with you and you could end up with loads of pheasant and you could charge toffs a fortune to try and shoot them!