Hello Chris;  Please don't be discouraged by your lack of success.  As a
mechanic, I deal with that situation rather a lot.  I would first attempt
to burn the lugnut off with a torch, I can cut clean enough that I don't
touch the threads.  If I didn't have that option, I guess I would heat it
in some way.  I have access to an excellant tool source, and would use (or
try) a pipe wrench, or a pair or parrot-nosed pliers.  After you remove the
fastener you must chase the thread you might  have damaged.  Geez it's
starting to sound daunting, if you screw it up you will have to buy a new
stud and install  it, you just drive it out with a soft hammer. then
install the new one from the inside.  Another possibility would ber to
grind it off, with one of those disc grinders 4inch.  I've had to do that a
few times.
Most of all don't be discouraged, your efforts will be rewarded.  It helps
to strengthen the bond with the machine.
Larry