If you have an E-Z-out that fits, use it in conjunction with the heat. Otherwise, if you know the screw was, say, a 5-48 thread, you can look up the tap drill size and drill all but the threads away, then try to use a same-size bottoming tap to clean the threads out. If that fails, drill it out and tap it for a larger screw.
Since the screw sheared rather than shattered, I am assuming it isn’t really all that hard. You should be able to drill it, even if the drill doesn’t come out of the experience too well. This is actually one of those circumstances where a carbon steel drill with the right temper would be superior to a high-speed steel. Cobalt drills are tougher than standard high-speed steel drills, and would be my next choice (carbide drill edges chip or shatter too easily in situations where it is easy for the bit to grab). If you have some, use Tap Magic to lube the drilling.
Nick