A puller that is used to remove the steering wheel from it's shaft is called a steering wheel puller.
A steering wheel puller tool can be purchased at almost any auto parts store or online and even harbor freight.
Steering wheel pullers are not very expensive and are required to pull the steering wheel off it's shaft.
The steering wheel is mounted on a splined shaft.
The steering wheel fits tightly on the splined shaft and requires a puller to overcome the tightness of the fit to remove the steering wheel.
The steering wheel also requires to be pressed back onto the shaft which requires the tool.
The center lug nut is what holds the steering wheel in position, so carefully disconnect any remaining wires and screws holding the original steering wheel in place.