My Stevens 44 has the screw that holds a firing pin really buggered up in frozen like the Dickens. I've soaked it in solvent and it won't move.

Any ideas?

I have removed such screws with an end mill just slightly smaller than the threads. If you have access to a milling machine and can find the right size endmill, you can remove 95% of the screw and dig out the rest with a pick. I have done this several times with excellent success. Worse case scenario, you damage the threads and drill and tap to a larger screw. I have never heard of the candle approach before but will investigate it.

Anyone try one of those impact screw drivers or even an electric impact driver?  I've used both with some success but never on a gun.

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Never tried wax, but have tried heating the screw heads using my Weller soldering gun, and then apply Kroil to the area to suck that into the heated screw.
I've used a bit in my drill press so I can put heavy pressure on the screw, and then use a rod in the chuck hole to turn the chuck while holding downward pressure on the screw. 
All else fails I use Dave's suggestion of drilling them out with a left hand drill bit. They often catch and unscrew themselves before they're drilled out.

In drilling out tiny screws, I find that it's best to start the hole with a center drill before switching to a left hand drill or tiny center cutting end mill.
If you start with a tiny end mill, go very slow as they break easy and are relatively expensive.
Otto

I agree with uscra112.  If you must drill a screw out and the thread end is available, that's where you go in.  After all, whether it's the screw body or the threads that are the hindrance, to best avoid having to retap, you need to go down the center of the threads precisely.  Plus I think I've only got one left-hand drill in my stash.

Bill Lawrence

I am not sure I would even try using a drill press on a small screw unless it has close to zero runout and why its best to use a good as well as a very ridgid mill. One would probably also want to use a self centering end mill in a collet instead of a drill bit mounted in a drill chuck. That also tend to have a little run out all of their own but that is also just my own opinion. And prior to using a slightly larger in size left hand drill bit if one has both that are small enough for such a task. Or at a minimum to just to get the left hand drill bit started to go in perfectly centered up first while also allowing it to possibly wanting to flex abit especially if being of a smaller size.