Sometimes they are really stuck on the shaft!
If the easy way will not work then you will have to use a "bigger hammer." Having the right tool sometimes really helps. Watch the video here to witness Kent's success.
Problem & Solution
Common among these chassis:
R107
W108 W109
W113
W114
W115
W116
W123
W126
Most of the time the "easier way" works and it does not require a special tool. Check here to view the first video in this series. http://youtu.be/jGgbbKZiYng