If you are spending big money on new alloy wheels you might consider security locking lug nuts. The more common type will be hardened steel and chrome plated with a funny cam shape slot in the face. These require use of a special "key" which is a piloted socket with matching special cam shape to engage the nut. You might think about getting a second lug nut "key" for the same reason you keep a second key for your car, just in case you might lose one.

Of course of you need to carry the key in the car in case you need to change a tire on the road. This "key" socket is a bit large to carry in your pocket, not intended to go on your key chain. If you store it in your car at all times, perhaps the wheels may be somewhat less secure.

Also keep in mind that for every security measure there must be some method of service if the key is lost. As such, there also exists an "Emergency Security Nut Socket" which happens to be priced under $20 and may be available at Wal-Mart. Oops? Are these cam lock lug nuts really all that secure?