Ok, I can confirm that this did work for me in the end. Will document here in case it's useful for someone.
The main thing about the heat is that melting the plastic makes space for the screw without compressing everything in the hole. The top part is where it really sticks- the tapered end containing the actual probe isn't the problem.
You could probably drill away some of that top part (I didn't), as long as you leave enough to screw into above the taper. The space inside the hub is effectively sealed, so drilling the whole thing out is clearly a bad idea - glad I didn't do that.
In my case, the front sensors had been stuck there for 19 years, so the amount of force needed to pull them out was huge, and there's a real risk of shearing the heads off the screws. I used stainless steel screws - a bit smaller than the guy in the video though. I renewed them several times during the process as they fatigued, and removed and discarded the heated one without pulling it at all.
You have to find a way to pull the screw straight - in a controlled manner in case it slips - and make sure not to gash any of the rubber joints in that area. I put the screw head in the jaws of a claw hammer and then prised it against the end of the track rod, packed with a few sheets of plywood to get the angle right. The car needs to be well supported as you tend to end up pulling kind of sideways.
Both sensors came out in in pieces after several attempts. It's awkward. You can clearly see if you've got the whole thing out when the botttom (tapered) bit is impaled on the screw.
The new sensors in my case were also very tight, so I had to trim away a tiny amount round the top part with a Stanley knife and sandpaper to avoid having to really hammer them in. Not too happy about that, but it seemed daft to re-create the same problem I'd just solved.