Believe it or not but when I was a "ricer" in 1992, I was soooo anal and paranoid to make sure my 16 inch Anteras would not get stolen, I had ALL locks for my lugs and although the car was eventually stolen when the wife brought it to Atlanta and when the police finally DID find it, the bastards couldn't take any of the wheels and only got away with the sound system (actually only the radio because I had the amps hidden and I guess they couldn't find them,heh) and I was even able to replace the covers for the wheels that conceiled the lugs and sell the wheels for more than I paid for them.
You may not want to go THAT overboard but hey...
Alan