If all else fails you can carefully use a cut off wheel and slit the outer shell of the lug nut on both sides and then knock it off with a punch. If you do this make sure you cover the wheel and anything else important from the sparks the cut off wheel throws. I like to make one cut parallel to the rim on two opposite sides of the nut where it meets the wheel and then make my perpendicular cuts/slits that run along the length of the lug nut shell that way you kep the cut off wheel away from the rim itself as much as possible. This is a pain but I've done it before.