The dealership put those locking lugnut things on when I took delivery. Once I pulled into my garage, I took them off and have never used them since
It's easy enough to lose the key, or damage the lugnut, leaving you SOL in BFE with a flat tire. They're a farce, any thief worth his salt will have the special socket made by Snap On, MAC, etc, to easily remove the thing
Mac Tools Online Store - LT4000C
If your local tireshop doesn't have this kit, just ask the neighborhood juvenile crackhead car thief