Now a proud owner of a Wolf flex shaft grinder

It has two speeds 11,500 and 1200 RPM. The motor has a gearbox inside and to switch speeds you unscrew the flex shaft off one output and onto the other. However both the flex shaft and the plug that covers the output not in use and stuck on tight. I don't want to use pliers for damaging the nice knurling but putting cloth between the pliers and nut doesn't give enough grip. Any ideas how to get it free without marring it?
Also should I be lubricating the flex shaft itself? If so what should I use?
More dumb questions probably yet to come