The issues with these type caliper pins is two fold, 1 they use a too high strength thread locking compound, 2 it's cheap s/steal into aluminium. Added to that is owners/stealers over tightening them, which locks the taper (most have a taper), stretches the threads and using poor quality tools that wreck the allen screw i.e. round it off.
Normally heat will do it but as with everything there's heat and there's heat! Most try and are successful using butane DIY plumbers blow torch, but these don't burn hot enough for the stubborn ones. They just end up heating up the whole caliper, possibly wrecking the seals and not softening the compound. What you need is acetylene just on the pin, either via the cap head (if there's room) or heating the pin between the body gap where the pads are. It's so hot the heat goes straight down the pin and softens the compound in seconds, but not enough to damage anything.
The other way once the cap head is buggered, is to spot weld a allen key into the rounded off caliper pin, the heat from the weld softens the compound and the key which is now welded to the pin will with a socket get the pin out. You don't need to attack things with Dremels, obviously you need access to acetylene and or a welder. Both should be accessible at a local car workshop, just explain and if they give you funny looks, go elsewhere!
Falling the above, you can use easy outs, simple matter of drilling the centre of the cap head and using the easy out. If that fails, its drill them out, by using a drill 1mm smaller than the thread hole in the caliper body, you need to be very accurate, so a pillar drill is required. If you get it right you'll drill out the bolt but leave the thread in the caliper body untouched. Run the thread through with a tap and bingo, new pin/s.
In all cases as mentioned take the caliper/s off secure in a vice.
Once they're out fit new and a little dab of chopper grease on the thread and tighten to the correct torque.
If none of the above works, which can happen, replacing the caliper is the cheapest option.