And centerpunch the Bejeezus out of it.
The more centered your hole, the bigger you can drill without getting into the threads.
There is nothing wrong with using heat, or cold, though oxy-acetylene on cast iron could lead to disaster. There's at least a chance that the stud itself isn't actually rusted in place, but snapped off due to thermal stresses. If so, then an Easy-Out should get it – there are some fancy modern ones you can get that might work well.
Remember, if you break the Easy-Out off in the hole, you're in a whole new world, so use your judgement.
It is worth it to get a (few) counterclockwise drill bit(s), which should be available on Amazon, because sometimes they'll catch and just spin it out.
– Eric