That really sucks man, and its pretty scary to see this constantly happening in NY/Long Island. Im especially worried with my anniversary wheels. I have the oem locking lugs, but I might order a set of these too:
JDM MUTEKI WHEEL LUG NUT M12 x 1.25 OPEN ENDED BLACK: eBay Motors (item 310193958307 end time Jun-10-10 18:36:46 PDT)
Those plus the oem style locking lug might be enough to make them not bother.