I know what you are referring to, but the locking nuts just make your wheels harder to steal, not impossible.

You can buy the socket unit that allows you to remove locking nuts, but a thief would look pretty conspicuous doing so.

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2009 ML350 (106K) - Family vehicle
2001 CLK430 Cabriolet (80K) - Wife's car
2005 BMW 645CI (138K) - My daily driver
2016 Mustang (32K) - Daughter's car