Getting the wheels off can be a total pig of a job
Yes undo the grub screw. The key way needs to be pulled out in which most cases has been knocked in to far in the past!! I bet yours will be the same. I have been known to smash off the cast part which you have removed the grub screw from. Yes I did have some spares!!
You can get the exhaust off with out removing the wheel but if not then easier to remove the engine
Just jack up the machine to change tyres if you cant get the wheels off. They to can be harder than hard to remove. Have your swear box at the ready!! Again I have cut plenty off in the past
Good luck!
Chris