Thermal lance doesn't care what you put in front of it. It will even cut granite and concrete. The grease will probably help get the pin out because the heat from the lance will soften and melt the grease and keep you from veering off coarse. Its probably the most violent and nasty tool known to man for removing metal but its a damn handy piece of kit and defiantly has its place.
Discuss this in the forum topic What happens when you don't grease?.