Sometimes heat is the only way, but a last result. I have gotten them hot enough using a propane torch. One thing to try is to heat the shaft and apply paraffin, allowing it to seep into the joint. The problem with heating is that you need to heat the collar in the wheel, not the shaft. Doing that you usually destroy the wheel.
As for the threaded shaft, you were supposed to have the nut on the shaft flush with the shaft end so you didn't ruin the threads.
You will need to use a thread file once you get it apart.
Another method is to use an impact gun, sometimes the vibration will help break things loose.
