It's a worthy idea. I did something similar where I "locked" up two wheel bolts against each other on the same bolt so that i could get a wrench on one and hold the hub in place. No dice though. The torque required to unscrew the studs was too great
I can see trying to lock a couple of nuts on a stud and holding that to be frustrating.
If you are worried about the threads, run a lug nut down a couple of studs next to each other and brace your pry bar against those. That will protect the threads. If you get a long enough pry bar, you could even set the end on the ground and not even have to hold it. Might take a little messing with it to get the bar on the proper side of the studs (one inside the other outside? Or reversed?) but should make some sense when trying it. I usually end up moving the bar around a couple of times to get it right, but never seems to take all that long.