How can I loosen the joints on my action figures without breaking them?
WD-40 and similar oils contain solvents, which would most likely strip the paint off your model.  

A "dry" bike-chain oil will do well to reduce friction.  

However the teflon particles are dispersed in a solvent, so it's hard to say how it might effect the paint.  

If you go this route, use a toothpick to apply to the inside of the knuckles, for precision without dripping all over the rest of your model.  

A light sewing-machine oil should also be suitable. 
They tend to penetrate well without any added solvents.  

...

I would think a toothpick would be safer than an x-acto knife because the toothpick would "give" if you apply too much pressure, smooshing down before your plastic does.  

If it's not strong enough, you can go the X-acto route, or craft pick; a compass point might do.  

My main thought was that the toothpick would hold a drop of oil well, 
like a candlewick does, plus it's fine enough to get inside.  

You could cut the cotton off a Q-tip at an angle and wedge some oil in there that way if you like.  

Again, being softer than the plastic, it should bend before damage is done to your model.  

Don't expect it to crack instantly. Just keep wiggling the oil in there for a while 'till it gives.  

You're right about the hot water trick. If kept low it should be OK. Like 100°F. You know, baby-water warm.  Hot, not scalding.  If you need it in there for a long period of time, maybe set a pot of water on one of those coffee/candle-warmer pads.    

Put model in a freezer-bag and do it sous-vide style, so it doesn't get completely soaked.  Put something heavy in the bottom of the bag so it doesn't float.