Been there and most definatley done that. Ended up buying a set of these and hay presto 2 hour job done in 5 minutes http://www.amazon.co.uk/Irwin-Bolt-Grip-Remover-Expansion/dp/B000QW6K8IBest £15 you'll spend
Another way to kill the fucker could be to drill straight through the nut and into tthe stud.Assuming that you can keep the thing centered and not veer off into your wheel. Would need top quality HSS bits as the material is high tensile steel.Cheapo Chinese bits no use. Keep opening out the hole until the stud is suitably weakened, then hammer on a socket and twist it off. Might be kinder on your wheel bearings than just bludgeoning it to death
Use 1\2 inch stuff on wheel nuts not 3\8. If you need studs let me know have a few knocking round. They just knock in on splines.
I did read about a more radical solution a few years back. Apparently if you aim a high velocity rifle at the correct place on the nut, the impact of the bullet will start the thing moving in the right direction. Just how many shots it needs wasn't stated. Don't quote me on this, cos my memory is a bit hazy, but some rural oaf in Texas tried it, and got caught by the ricochet and bled to death
just tap the gripper on with a hammer so it bites in to the nut and away you go!!