usually the rotor set screws come out easy as soon as the head is drilled off. At worse i have to cut a slot into the bolt and use a flat head to wind it out or use vice grips. I prefer using the set screws that have an Allen head to them. impact driver is key though on the Phillips head versions.
I never use anti-seize either. **** gets everywhere. last thing i want to do is track it into a customers interior. You know how hard it is to get off your body when you get it on you, let alone someones 50k+ car interior. Couple that w/ the fact that it can run. antiseize on the face of a rotor or whatever im sure is not good.
if you want something to not stick normally a light coat of wheel bearing grease on the threads is enough to do it. if the wheels stick to the hub, clean off the aluminum center bore of the rim and the hub then light skim coat of grease.
the high temp bearing grease trick works for "problem" area bolts too. Cars like 944 na or turbo, 924 or 928 the water pump bolts freeze in the block. any car i have done multiple times in its history the bolts come out because i faithfully lightly coat those bolts w/ grease. better than drilling out bolts in the block every time.
i also 2nd using hawk blue pads. they are pretty much the go to street/track warrior pad. plus it is cool when you have screeching brakes as loud as those pads on the street

downfall to blues is if you have a car you like--the brake dust can do a number on your paint job. as the metal in the brake dust basically acts as a welding/grinding sparks on the paint. yet everyone who i have talke dinto switching to blues has never gone back.
only thing i can say about putting on wheels is practice

. if the car is racked, i usually lift the rim up one hand and have my cordless impact ready w/ a lugbolt in the other. if car is on the ground, i will balance the rim on the tip of my boot/shoe while using one hand to guide and other hand ready w/ a cordless impact. either case--cordless impact is used just to snug bolts--then go over and hand tq each lug w/ a tq wrench.
older benzes had metal "wheel hanger" studs in the service kits. a lot nicer than those found in late model kits. I would be surprised if they can support the weight of the wheel and tire as flimsy as they look. I dunno though, never used any of them.