What works for me, without fail as long as a previous owner didn't round off
the nuts beforehand, is heating the nut red hot. Then I take a chisel and
hit across as many flats as I can with a moderate thud once or twice while
the nut is still hot, then remove.
Plan "b" if the stud twists off is to weld a nut on whatever metal is left.
It might take a few tries, but this in effect makes a bolt out of the metal
that's left. The heat from the mig welder helps break up the gunk... best to
wait 5 minutes or so before removing and heating back up gas.
Since learning that trick, I've never had problems with exhaust nuts. Good
luck!

Thanks,
Mark
http://www.veedubbin.com

'81 Vanagon
'78 Wesfalia
'71 Single Cab
'71 Deluxe
'67 Outlaw 912