Most steering wheels I have pulled were removed with a brass hammer.
Loosten the nut holding the wheel on (but don't remove it, just 2 or 3 threads loose), support the lower part of the wheel with your knees and grab the top of the wheel with your left hand.
Pull up with your knees and pull with your left hand. Then strike the nut sharply with the brass hammer. One or two licks usually frees the wheel.
Don't get carried away with the hammer, you can hit it too hard.
edit to add, did you pop the puller screw with a hammer after you tightened it down? This is usually needed to dislodge the wheel when using a puller.
Last edited by Old4X; 11-13-2008 at 08:05 PM..
Reason: add info