<< Try some heat. >>
Bad idea. Works great on bolts, but not on oil pan drain plugs. Not only can it distort the oil pan, but also break down the oil in the area, making it turn to a nasty carbon/tar gunk.
I have alot of experience in this area, and the best tip I can give you is this... LEVERAGE. Put a piece of pipe on the wrench and get some torque. Be careful you don't round off the plug or strip it. As a last resort, take it to a place that changes oil. If you round off the hex, you can use a small pipe wrench as a last resort to grab it. Vice Grips work also, but not as well. They tend to slip a little more.
BTW, WD-40 or penetrating oil will not help. The threads are loaded. Penetrating oil works only on dry rusty fasteners. Bolts that are oil soaked, have pipe thread (Tapered. The P.O. can't get in the threads) or are "loaded" (Have pressure pushing the bolt out, usually under tension) penetrating oil won't work on. Also, P.O. works best on fastners that you can access both ends to spray. A nut on a stud is the best for P.O.
Basically, P.O. won't do a damn thing on oil pan plugs. Save your $$$ and don't even bother wasting it there.