I know this sounds odd...but another trick is to take a screwdriver you can toss...put a dab of JB Weld on the tip and glue it to the screw (careful not to put too much...you don't want the JB Weld to go other than on the screwhead). Hold until the glue sets...then use that to unscrew.

 

Drill the head off.

Remove the rotor.

Apply PB Blaster, liquid wrench or similar lubricant

Using vice grips or a small pipe wrench, grab and unscrew the remaining stub from the hub.

If all else fails, drill it entirely out and never use it again. It serves no purpose once the wheel and lug nuts are in place.