Ignore everything that follows. you will not have success using my method. (End disclaimer)
Once lug nuts and wheel are off, check for rust. If rust at base of std, clean with stranded steel wool. Carefully make a strand of several polled from roll. Use like dental floss held by both hands to "brush" the stud threads. Then clean and dry. If severe rust, consider replacing all studs and lug nuts.
When properly made wheel mates with drum or disc there should be no water between them. So rust won't form.
If, however, you are a fan of pressure washers, you may be causing problems.
Now, some cheaper lug nuts do not have a cap or the cap does not seal well. Water can and will find its way in and will rust stud and nut!
I have used "nev-r-seize" on boat wheel lugs and nuts for 50 years. I apply sparingly...drive then check torque as described above by competent AS owners.
My lug nuts are cheap open headed and I run the hot wheels underwater when unloading boat... So the bearings get clobbered if bearing buddies or seals fail... But no problem with loosening lug nuts, no rust on threads.
With aluminum wheels I do same and a very light near on the lugnut and wheel mating surface... If any squishes out, you put too much...remove and clean up.
When installing studs I do same, light coat of NS then press in.
By far, using too much torque will kill the threads on stud and nut and I think is primary cause of early life failure (stuck lugnut).
When removing, I don't get the groaning of metal shearing when I have used NS on lugnut, stud and wheel. I have only replaced "factory" and "tire dealer" installed lugnut and stud.
Of course you must ignore my method. I read this after using my method and my head exploded around page 2.. http://mmptdpublic.jsc.nasa.gov/prc/7085a.doc
Then again, that is NASA and I am NOT a rokit zientus.
C'mon guys... Travel well!