I've tried drilling holes in the steering wheel to insert puller arms, which held well enough, only to find that the puller assembly starts to deform and no movement at all on actually taking the wheel off.
Why the steering wheel was designed this way I have no clue. From what I hear they have a special tool to do this at dealerships (no help to the home mechanic trying to save $$ on what should be a cake process)
Other than that the only other successful solution I've seen is to drill out the existing wheel and replace it with a new one.
Great stuff.