The best action is to prevent difficulties from the start. Before putting the grinder bit onto the shaft, coat it with Vaseline or a proprietary anti seize-compound. This will ease the removal of the bit later.
If the bit is already seized, the method of removal is based on how fast it is stuck. If there is a bit of movement around the shaft when the grub screw is removed, you can probably remove it with simple tools. First use very fine wet and dry sandpaper to remove all corrosion and roughness from the upper, exposed part of the shaft. Put a thin film of lubrication or penetrating oil on the shaft and then you can hold the top of the shaft tight with smooth-jawed pliers while you twist the bit. Be careful not to mark the shaft or you will create another obstacle to removal of the bit. Alternatively, while pulling up on the bit, you can tap the top end of the shaft gently with a plastic hammer to shake the bit loose.
If this does not work, remove the grid and turn the dry grinder upside down and spray WD-40 or other penetrating oil to the bottom of the grinder bit. This should be left for a few days with renewal of the penetrating oil every half day. Then try the methods above to free the bit from the shaft.
If the bit is firmly stuck, you will need a small wheel puller to get the bit off the shaft.
Once you have the bit off, smooth any corrosion with fine wet and dry sandpaper and lubricate the shaft. Periodic removal of the bit and lubrication of the shaft will become part of the regular maintenance of the grinder.