Use a rubber mallet and pound the crap out em'. If you're careful use some wd-40/liquid wrench stuff first. Just make sure you clean everything up with brake cleaner afterwards and don't get it on your pads.
Just beat it with a hammer. MAKE SURE YOU PUT THE LUG NUTS ON THE STUDS!! If you miss and hit the threads, you can **** them up real bad. After you put the lugs on, beat away.