definitely make sure that it is on a Few threads
pulling firmly towards you rocking gently using the spokes as the strongest point otherwise you will bend the steering wheel never had one not to come off using this method however an assistant with a copper hammer maybe able to gently tap the shaft while you pull using a brass drift To hit gently making sure the nut is flush with the end of the threads
leaving the steering lock in the locked position will also help to prevent the column from moving too much allowing you to concentrate your efforts