[Yosemite Sam]

All good ideas so far, I especially agree with tightening a frozen/rusty fastener first to break it loose.

If I know in advance that I need to get a steering wheel off, I have been known to take the nut off spray the center shaft with acetone/diesel fuel (50/50 mix) put the nut back on and just snug it down a little. Then drive the tractor as usual, spraying before each use, they usually break themselves free in a couple of weeks. Not the ideal thing, but it does work.