Try using reverse drills. Use one that is the same size. If you damage the threads at least you will be close to the size and will be able to run a tap. The origional threads are fine I believe. You can run the thread tap you want which I would choose course.
The biggest problem is that the wheel is a softer material than the screw and easy-out you're trying to drill. You might think about using a drill press, if you're going to drill it out. It's much easier than a steady hand.