This is like what you need:
http://www.amazon.com/Hubcap-Wheel-L.../dp/B000R6U084
Or take it to Discount Tire, they'd probably do it for free.
The wheel lock removal kits have a reverse inner threaded cone that hunkers down on the lug as you try to back it out. They work VERY well. I got my lost key lug locks off in seconds.
Hence, I'm convinced that wheel locks will not stop a thief at all. Casual thief, yes. Determined wheel thieves, not a bit.