Nope its fine who said not to put them on wheel nuts its common practise here uk iv done it for over 30 years never had a problem 

yes

Have you tried the trick where you loosen the lug nuts (not remove) and then slowly lower the vehicle back onto the wheel? That usually pops it. Maybe rock the car side to side a bit.

I had a rim stuck on the hub.  Even hit rim edges, lightly, with a eight pound sledge and it didn't come loose.  Mechanic gave a simple squirt of WD40 and rim slid off. 

Anti-seize - small amount of it - on lug nuts is perfectly all right! Just remember that you have to reduce torque by ~15-20% from what a spec says. If you don’t, you over tighten the lug nut, and you may have a hard time taking it off when you get a flat. Mind you, tire shops with their pneumatic tools pretty well every time will over tighten your lug nuts, to begin with, … and you will have a hard time to take your wheel off if you get a flat, too, … but that’s another issue.

And as far as smearing a bit of anti-seize onto hub face causes no trouble either. It prevents corrosion, makes the wheel not to get stuck to the hub.

Anyway, bottom line: … when you tighten a wheel to 85 ft.-lbs, it may actually be torqued at 95 ft.-lbs if it had previously been coated with anti-seize. So, …  tighten it to 95 ft.-lbs if your stud and nut is dry. If you use a bit of anti-seize on the stud, … just tighten it only to 85 ft.-lbs and be done with it! Just an example, …

F.S.

Damned pistol grip overtighteners.