Glenn In my expierance heating exhaust hardware sometimes works if it does not thebolt become extremely hard and differcult to drill afterward I would heat as alast resort if you have room centre punch and drill to the largest size stud extractor thats possible, use the straight fluted stud extractor such thatr are used on pipe as the spiral ones will expand the soft steel into the threads, some times are called brass fitting extrators. If it indeed it is a bolt still drill and punch out. hopes this helps.
Regards Mark