Bob-
I agree that WD-40 isn't the best for loosening rusted items. It's more for squeaky hinges and displacing water.
Since the socket is off the grill, you have a couple of options...Any of these will help... Who knows which would actually work! LOL
1) Heat up the leg right next to the socket with a torch. Allow it to cool before trying to remove socket. (Or just toss that end into a chimney of coals the next time you fire up a kettle.)
2) Soak entire socket in a jar filled with power-steering or auto trans fluid overnight. Both are a thin but slippery oil
3) Find a socket that would fit over the leg, but is still small enough to push the tabs of the grill socket. Use the socket to try to tap the grill-leg socket further ONTO the leg. I know that sounds counter-intuitive, but once you get it moving, then you should be able to slide it back off the other direction. You'd be just trying to get it moving with this idea.
4) You could drill a hole in a board that will fit the leg, but not the socket. Slide the leg through the hole in the board until it comes in contact with the leg-socket. Have someone hold the leg vertically while you tap on the board with a hammer on each end of the board.
That's enough ideas for now