I removed my shift knob (88 ranger, splined shaft no threads) using a "Pickle Fork" that you use to remove tie rod ends. Put it between the knob and the collar on the shaft, and tap with a hammer. Three or Four hits and it came right off, but that might have just been luck. I didn't apply any heat to the knob, didn't damage the knob, and didn't bugger up the shaft. In my opinion, it worked out great.
~Jeff

P.S. -if your shifter doesn't have that collar under the knob, this won't work. I Don't know if the newer ones have them or not.