Probably best to leave the nut alone unless loosening has to be done. Moreover, I have never owned an adjustable steering wheel. If I had to try, I would use WD40 because I like the way it dissolves glue, general crud, and road tar. I would let it soak for a day and then hit the area again with the WD40 to hopefully reactivate anything that dried. To hold the nut I would probably use one of those plumber cloth wrap around wrenches. If the nut moves just a fuzz, then stop, and work the nut back and forth just that fuzz until things unfreeze. Good luck it sounds like a difficult one.
Steve