Just watched the disassembly video, the sort of thing I've been doing for the last 30yrs. Some observations:
As you've found out files make poor tommy bars.
As I say above thread lock wasn't available until the 1950/60's.
I've researched a lot old rusty things in museums & first hand, under certain rust forming conditions & esp in soil, rust can form with a glossy surface which is usually very hard but also people do apply varnish. Varnish tends flake, wear or can be cut off to normal looking rust underneath the glossy rust doesn't. Yours looks like glossy rust & probably a field find.
That same grenade looks like it's been through a slightly dodgy dealer & I'd ascribe the brass paint to 'restoration'. This sort of thing gets done by certain antique dealers to 'dupe' the less savvy buyer into thinking somethings in better condition than it is. Sometimes it's just a non-collecter owner wanting to spruce things up. I've met it before & say it's unlikely to be a factory thing.
You could do with a proper bench vice, or if you have one some slip on or magnetic jaw pads. I'm tight so use scrap aluminium angle. You can exert more pressure than with wood. Only down side is sometimes you end up with ally smears but these usually clean off. I have also used copper & lead depending on how delicate or not the item is.
As you know using heat to expand metal can work. Sometimes this needs to be done several times, each cycle helping crack the rust. In extreme cases & if no damage is likely to result I go to red heat. However hot I always quench in oil (usually motor oil) as when hot this can penetrate the joint. Sometimes though you just have drill out as you did.
Finally a tip I only learned recently (from a slightly dodgy antique dealer). If you have a lot of rust shake loose, esp from hard to reach places, use electrolysis. You need a small 'bath' for the electrolyte which is just acidified water, some of that vinegar will do just fine. A little caustic soda works too but that's an alkali. You need a battery with leads - he said 12v car type, I've used a motorcycle mains battery charger as it had crocodile clips, A decent Lipo should work too. The rusty part is attached to the positive lead (anode) & a piece of metal (I used copper water pipe) at the negative lead (cathode). It's very effective. So effective you have to be careful you don't start eating away good metal so keep an eye on it. The rate will depend on how strong a current you are using so I can't be more specific than that except to say no over nighters, you might have nothing left in the morning.
It's the basis for electroplating too - metal being removed from the anode metal & deposited at the cathode.
There's another caution - no ignition sources near either - pref. outdoors. Gas is produce from the metal parts, oxygen & hydrogen & in perfect proportion to go bag if allowed to build up in a confined space. It would take quite while to get to that stage but it's something you need to take into account - so a double no over nighters. Just have ventilation & regular checks every few mins or so to start so know how fast things are going & you should be fine. It's no more dangerous than charging a lead acid wet battery but those same warnings are given for the same reasons.
Liver of sulphur paste or solution (warm) gives an excellent dark patina to brass & copper.
As I have said elsewhere you can't weld unlike metals together eg brass to steel they just won't do it. You can braze (brass soldering), silver solder or lead/tin solder.
Hope some or all of that is of use.
you can send your vintage Obi my way 
