I never touch exhaust fasteners without heating them up first.
Yes, the picture shows a cutting head, but it'll heat up a bolt head (or a nut) fine. Just don't hit the cutting trigger while you're heating. You can actually get a more pin-point heat with a cutting head. You're not spraying a flame all over the place in case you have sensitive parts nearby (like oxygen sensor wires, etc, etc)
What I do-- fire up the torch, turn the fastener red (or even yellow), calmly shut the torch off, then remove the fastener. I gun them off with an impact, but you can use a rachet or wrench too. I guarantee that if you get them yellow, they'll come off every time, and easily too.
I've successfully removed bolts and nuts that looked way past save-able. The heat knocks all the rust and scale off and they don't look nearly as weathered afterward. If there is simply nothing left of the fastener, just cut it off with the cutting head and replace.
Edit-- you need an oxy-acetylene setup to do this.