I've had good reults with WD-40 as well. Just leave it soaking and forget it, eventually the WD will work its way in.
Somethings are a little to big for that though, I had a projectile I was given once that I needed to open to prove it was empty. A soft lifting lug had been placed in the nose, and at least once it had been dropped on its nose, deforming the lug. That and 30 years of rust had completely seized it.
Tried chaining it down (it was a 280mm) and using a 2m pipe, all we succeeded in doing was to peel off the outer layer of the lug. I was more than mildly reluctant to use heat on something that I had not yet confirmed was 100% safe and due ot the size could not soak the piece, so for some time forgot about it.
An old timer machinist was visiting one day and looked at the piece. He told me simply to take about a 3lb hammer and smack the projectile near the nose about 5-10 times, moving around the munition as I do it. Do that every night when I get home for a month or so, then see what I get.
Did that, it became a nightly ritual for 4-5 weeks. At the end of it I put a wrench on it and it came right out, no pipe necessary. The repeated vibration breaks down any weak spots, in this case the corrosion on the threads. For smaller (solid, not sheet metal) items I would still recommend it, scaling things down and using softer metals to avoid damaging materials. Don't know if its applicable for grenades, but its a thought.
