I had this happen to me when Jiffy Lube rotated my tires (stock rims) and cross threaded a lug nut on. I tried using a dremel with a micro-milling bit.... after about an hour of fine machining and many bits I cut 2 slots down 2 sides of the nut. The problem I still faced was that I couldn't remove enough of the material at the base of the nut to remove it. So at that point I decided to drill out the stud. Using a small bit and working my way up I drilled out the stud in a very short time. hind sight is 20 - 20.... drilling is the way to go, just don't drill deeper then the lug nut. You don't want to damage the hub. Good luck with this, and let us know how you make out.