You dont want to put the heat directly on the gun lol... I should have been more clear in my post..
You heat up your allen wrench... then put it in the screw and let the heat transfer from your wrench to the screw...
Heat up the wrench 4 or 5 times (hold the wrench with some pliers, or something else).. then put it in the screw head and just let it sit there for 8-10 seconds until it cools a bit.. then heat it up again... repeat the process a few times.. and then try to remove the screw..
If youre dealing with red loctite you are going to need a torch or a torch type lighter to get enough heat built up.. and are going to want to literally get the allen wrench red hot before you place it in the screw head..
if youre dealing with blue loctite, a simple soft flame disposable lighter will generate enough heat.. you dont have to get the wrench red hot.. but it should be hot enough that you dont want to touch it with your bare hands (300 degrees or so..)...
If you take the gun to a gunsmith, I can almost guarantee that he is going to used the above process.. (or at least try it first before trying anything else..)...