I agree about that trick, BrownBear. It helps break down any rust that may be in the threads, whether you have used penetrating oil with oxidizers, or not. Heating the screw all performs this same function.
Sometimes it works, sometimes it doesn't. I have a bolt in a Swedish Mauser that simply will not come out, and I can't get to the underside of the action to put penetrating oil on the bolt. So, the head is doing to have to be twisted off, and then the stock removed from the shaft of the bolt, and THEN, I can try tapping again, or penetrating oil, or just just cut the darn thing flush with the base of the action and drill the rest of it out!
That amounts to a lot of time that would be avoided if someone simply oiled those threads as part of routine maintenance.