I just ran into this same issue. A few things to try before you go damaging the lug bolt.
First, there appear (to my knowledge) to be two anti-theft lug styles. The first type is something that looks like an internal spline on the lug bolt and an external spline on the lug tool (my Mk4 Jetta has this style, and the VW Dealer lists something similar for Touareg as well). The second type has a milled pattern on it (usually curvy) and a mating lug key.
Which style are you talking about (or is it something else)?
My '13 has the swirly style. Recently a tire changer managed to torque the wheels wrong by hand and messed up the lug in the tightening direction. I was able to use a hammer and 1/4" chissel to sort of fix the key, and the bolt enough to remove it. I didn't want to risk further damage so ordered another set of lugs.
The locking lugs I have could probably work with the socket trick. Most people I have seen can hammer a 12 point deep socket over the outer diameter of the socket and it would work.
The spline drive style the same thing may (or may not) work. I know they make lug removal tools that also may or may not work.
There is also the option of drilling them off with a large drill bit as explained in this post: https://forums.vwvortex.com/showthread.php?3207133
I've had a similar problem present itself with stainless allen head screws. If you have a decent welder nearby you can wire brush the zinc plating off the lug and weld a nut or piece of 3/8" square bar stock to the lug and that should (hopefully) be enough to remove it. If you do weld its probably best to put a few layers of masking tape over the wheel and perhaps even spray anti-spatter (whatever you want to call it) to avoid weld spatter and to also only weld for 15-20 seconds at a time and allow time for the part to cool to avoid over heating the wheel and damaging the finish. Also probably best to keep a fire extinguisher handy.