Common practice is to use the wheel's quick release skewer to hold the tool in place so it doesn't slip off. The qr should be almost tight, but not quite so the tool can unscrew a turn. Then remove the qr and continue unscrewing once it's broken loose.

If it's a non-qr wheel, put the nut over the tool to hold it in place. Either way, the tool should have a tiny bit of wiggle room before you apply power.