Screw the nut on about half way and hook both knees under the bottom half and your spare hand on the top half while you give the nut a hit with a hammer. All they usually need is a steady force and a sudden whack to release it off the taper.
Leaving the nut on protects the thread when you hit it and stops the wheel smacking you in the face when it comes off, unlike what happened to a mate from Busso years back and gave him a broken nose.

If its the key way type, its probably seized on, try CRC it then your going to need to hit it with a hammer to try shock it then use the puller

 Try what the others have said, if you still cannot get it off and am willing to sacrifice the wheel I can weld you up a bolt on puller that won't slip whilst you try and undo.

Might have to cut it.

And then if that don't work get a bigger hammer :-)

 Go with carnarvonites hammer trick. Went thru this myself a while ago, quick google search came up with the hammer and knees technique and it worked a charm.

At the electronics places you can buy spray cans that freeze what you spray. The female part of the taper is usually alloy or muck metal, with a higher expansion rate than the shaft, by freezing it the letting it warm back up to room temp before doing the above treatment, may break the joint.
How ever you will most likely need a new helm anyhow so just go for it!

had the same prob a while back. nothing would work, ended cutting the old one off .just be carefull cutting the wheel off as not to damage the shaft.

try to hold pressure on the bottom of the wheel with your knees ,as suggested before, & flex the wheel left to right @ the 10 & 2 positions, make sure the nut is on & fully supported otherwise you may need some dental work if it comes off with a rush, have had some really tight ones before & this seems to work.

for future reference ...... when you get the old wheel off make sure you put some anti seize compound on the taper, key & thread when you re-install it. most likely wouldn't have had this issue if it had been done when first installed

 Cheers for the options everyone.

Will give carnovanites measure a run and see how it goes.

If all else fails i have 9" grinder with a cut off disc but dislike putting sparks in a boat.

 New helm/steering wheel = 65% of a whole new kit with helm, cables, bezel mount etc. Probably $250 for a new 15' kit and $40 for the wheel.  How many hours have you spent with it now trying to get the wheel off?

 About 20mins.

Gave it a RHG the other day and nearly rippped thewhole dash out!

Same as the others have said, constant pressure and a bang is what did it for me. To get the constant pressure I set up a rope bridle off the steering wheel onto a light duty ratchet strap which I secured to the opposite end of the boat. I didn't ratchet it up to the point I might break the plastic steering wheel, but kept a bit of pressure on there.