That procedure is recommended by Delkovic exhausts for removing the easily-broken studs on a Bandit but they say soak the studs every day for a week first. I'd add; at the end of the week (!) go out and ride it to get it seriously hot and then use a side-drive socket, not a 12-point one. With a side-drive socket you stand far less chance of rounding off the nut. I now only use 12-point sockets when I really have no other choice.

I agree on soaking for at least a couple days. 

I use a six-point socket on my exhaust nuts.  A quick spray with brake cleaner makes sure there is no oil on the nut to help make the socket slip.  I use a propane torch to heat the nuts only so there is minimum heat elongation of the studs.  That gives the best chance of leaving the stud in place.

Hi everyone,

So the saga is finally over. I ended up giving the bike to a mechanic.

I was unable to drill out one of the screws on the footpeg frame and generally felt there was a good chance I'd make a proper mess if I continued.

At the garage they told me they had removed only the "collector", which from French to English should translate into the "silencer".
As I had soaked the clamp studs in WD40 they didn't have too many problems unscrewing them. 
Their philosophy was to avoid opening up the exhaust pipe seals at any cost. Apparently putting the silencer back on was not a worry for them.
The full job took them 2 hours. 

I'm happy to have her back up and running again. 
Thank you for all your support ! Much appreciated although this time I had to throw in the towel.

Best regards,
Einar.