Old oil acts like a glue and fill in any imperfections between the hand wheel and shaft. Then solidifies. Lots of penetrating oil and heat.
Or, use Hoppe's #9 Gun cleaning solvent. Works really good and will not hurt the finish if you don't let it sit and soak. I've had to do that to a couple of them.
Caution, letting the Hoppe's soak on the painted surfaces can sometimes result in a part with bare metal.
Joe