In my shop we deal with stuck wheel bolts all the time. On some models the inner end of the bolt can be heated with a torch very easily. On other models the backing plate can be bent, to gain access for the torch. The backing plate can then be bent back again. We've yet to have any "collateral damage" using this method.

Drilling should be used as a last resort, IMHO. If several bolts are stuck (and this is usually the case), drilling them out can be very time consuming, and the chances of damaging the wheel is increased.