I know this sounds simple, perhaps even over simple,
but it is safe and worth a try. It has got me out of many a
'stuck filter' situation.
Hold the camera is your left hand with the back facing your palm
and the lense facing upward.
Now place the palm of you right hand over the offending filter,
apply firm pressure and at the same time, try to turn the filter
with your palm.
Give it a try, even try a few times if necessary. The theory is that
the palm of your had acts like a 360 degree clamp on the filter and applies
equal pressure all round the filter. One of the reasons for 'stuck' filters
is that we try to remove them with just the index finger and the thumb.
This distorts the circularity of the filter making it difficult to remove.
For a non-crossthreaded filter, your advice is the best starting point. The filter mounting ring on virtually all modern lenses is plastic, so getting heavy handed in installing a filter can lead to seizing. If the palm of the hand doesn't work, try placing the lens face down on a grippy rubber surface like a jar lid remover or piece of inner tube and turning the lens. Filter wrenches and belt type solutions are the next best bet. Just grabbing at the rim usually causes the filter ring to ovalize, which just makes it grab harder.
If the filter is cross threaded slightly, popping it with a screwdriver can usually break it free. Those that are more so or distorted due to impact usually require destruction of the filter.
Before breaking the glass check if the glass is held in place by a threaded ring with spanner slots. If so, try unscrewing the ring to remove the glass. If breaking is required, be very careful, as the front element can be within millimeters of the filter. I highly recommend taking it to a tech with experience in this. I've done many and it's always nerve wracking, and I always inform the customer that there is potential for damage to the front element. So far I've only had one that ended up with a small divot. The lens was already pretty hammered, so the customer wasn't too upset and I've done several for him since(sports Photog). I'm sure that one of the reasons for Canon's high repair charge is due to factoring in the replacement cost of a front element.
Due to lubricants and electronics, I would not recommend heat solutions. Cold should not be a problem, just so long as it's dry.
Insofar a lubing the filter threads, I use the old fisherman's trick of nose grease. Sounds gross, but works a treat. Graphite has a tendency to get everywhere and is a PITA to clean off.