Forget the WD-40 on the threads, that will be gone in the blink of a eye. Fluid Film will work a whole lot better and last a whole lot longer. Best bet is some never-seize grease on the threads, just don't get any on your hands. Grease up the threads, install and tighten the nut and then wipe off the excess on the exposed areas.
Remember, go easy if it's on a Ford........................ They can't take a lot of abuse...................
I solved the problem by using interchangable balls so the nut never has to come off. Before that I used different ball mounts for the different size balls. I never leaver the ball mount in the receiver more than a few days to save shins and prevent it getting stuck. http://www.amazon.com/Reese-Towpower-74309-Interchangable-Hitch/dp/B0000AYES4
They work on the light-weight stuff, but repeated heavy trailers with heavy weight and the ball connector pin gets sloppy because the hole elogogates.
Fluid Filming the inside of your receiver tube works a whole lot better than greasing it. Grease picks up and holds a lot of grit which tends to seize up the hitch tube inside the receiver tube. The other great thing about fluid film is that since it is lanolin based vs. petroleum based, you can spray a little on your hands to prevent those dry, winter skin cracks that your hands develop.
Just for anybody else reading this thread, an air hammer (with flat face hammer bit in) can work wonders with this stuff. Tie/chain the hitch to something immobile, have the wife sit in the truck with it in D, (if you have three pedals you're gonna have to get a bit more creative) while you put a whole bunch of vibration to the hitch. Those millions of little blows can do a lot more work than a few big hits. thewoodlands if you really want that ball off the mount, you might be able to cut it off with a cut-off wheel on an angle grinder. Even if you can only get part way through the shank, pound it off with a hammer/chisel.
I am not towing anything over 7,000 lbs and nothing on a regular basis, so it works for me. If you are towing that often and need different ball sizes (seems like most daily towers would use the same ball), spend the small amount of money it costs to have a couple different mounts with the ball "permanently" attached. I can't see wanting to unbolt the balls on a regular basis. The mounts are in the price range of a couple fast food lunches, not worth skimping on if your time is worth anything.
I've had some froze so much that a 1" impact with it heated wouldn't break free. Sometimes you just have to cut them off & move on.