Heat won't make it come out if you have a plunged set screw that needs to be drilled out. Even then, it can be a challenge. I have done a few of them and had good luck, but that is not always the case. I made a removal tool out of some split metal conduit threaded stock, a drilled metal plate and nuts. I was able to remove one just by hammering on a split piece of conduit against the bearing metal from the hull side. You likely need some shock and pressure to dislodge it. Easiest for really stuck ones is to remove the shaft and saw the old bearing in half. They can become really difficult to remove. There are commercial tools for pressing them out that most boatyards use, but even they often find this job challenging. I had one done by a good boatyard just last year and they ended up not having a choice but removing the shaft and sawing it out because some idiot had bungled the last replacement. Like of lot of jobs on a boat, this one can grow in complexity (opportunity?) for preventive maintenance on stuffing box and checking the facings and alignment. Good luck.