yep, these wheels can be a bear to remove. The previous poster is correct except for the part about lifting the truck off the floor and dropping it, DO NOT do that. You can damage the trunion axle mount or tube from all that weight.
These 'collets' are like a cone split ring washer that wedges around the stud and helps center the hub. If the nuts are overtightened or the collets were reused they can flare out and swell up on the ends and actually squeeze against the stud making it very hard to get the wheel to break loose.
Unfortunately the only way to get the wheel off is to use a sledge and hit the wheel around the edges (on the press ring of the tire), try not to hit the hub itself because you can damage it too. Once you do get the wheel off toss those old collets, inspect the holes in the wheel hub and also the studs for wear, replace any studs that are worn. If any of the holes in the hub look abnormally worn then you will need to replace the hub as well or get a machine shop to repair it.