Hmmm, I did this two ways, the first I took cold chisel and tried breaking the lugnut off. I would not recommend it cause now I have royally messed up the hole and am gonna have to dremmel it smooth, of course I know have permission to powder coat em bronze. THe second way, which was also used to finish up the first way is time consuming...
I took I think 5 different size bits stepping up from teenie tiny to just a size bigger than the lug. I broke off the cap of the lug nut, then started drilling in the center of the lug til I went in as far as I could, but tired going all the way to the base of the rotor with out hitting it wiht the larger bit. I stair stepped several times til I got it there...Once the lug is drilled out the nut will fall off, course you will just tap it lightly with a dammer or something first cause it may still be seated.
Next you will need to replace the lug, of course. I dont know the proper way to do it, but what I did was removed the rotor so I have a lil more area to work in. I got snips and snipped a 1/2" wide section outta the dust shield. Then I tapped what was left of the lug out. Next is the reason I took snips to it. I got the lug, grined one side down just enough for me to tap it past that ridge in the back so I can get it so seat. I know this isnt the correct way, and not responsible for damage to you your car or anything else, jsut simply telling how I did it.
Anyways, this is what I have done, and next time sounds like you need to hand tighten the lug down to the wheel before tighting it, that way you can check for cross threading, or make sure the lugnut is the right size for the wheel hole, which is why I had issues, the hole was way to big for my lugs.