No, not threaded, it's a taper fit - basically jammed in place with a nut to stop it coming off. If the male and female halves of the tapers are a good fit (as they should be) it can sometimes be a real struggle to get them apart. That's where the heat idea comes in - if you can get the flywheel warmer so it expands it'll release its grip on the shaft slightly (until the shaft heats up). You don't need to get it glowing in the dark but hotter than touchable should be somewhere about right. Remember it gets hot every time the engine runs so it's designed to take a bit of heat.

I've rarely (read never) had much luck with the two or three legged type of puller on flywheels. For what the proper puller costs it's worth buying one and even then it's sometimes tough (or it'll fall off straight away!). Heat it up, tension the puller (protect the end of the shaft with a sacrificial nut) and if it doesn't come off tap the end of the puller with a hammer. That's tap, not breaking concrete with a sledgehammer.

If you've got to this stage and everything is under tension do whatever you have to from the side, not in the direct line of fire if the flywheel comes off. The rear wheels of one of my cars are held on by the same method except everything is twice the size and they're always tough to get off. I've had the whole hub and puller assembly fly across the garage with some force before now. If you're in the way it'll hurt.