Locking lug nuts aren't going to stop someone that really wants your wheels. Even the most inexperienced thief knows how to defeat them. They will slow a thief down, or make him look for an easier target though.
I'd suggest buying 2 sets of locks, and using 1 from each set on each wheel if you're truly concerned with theft. KICS are great, as well as Muteki. McGard and Gorilla make a good product, but they're more widely distributed. The problem with that is that in my opinion, a thief is more likely to have a key that fits.
The KICS Bullocks are immune to that problem, because each set uses a random spline placement.
Here's just the locks:
KICS Bullocks 12Mx1.25 Closed Wheel Locks Black
And here's the full set:
KICS Bullocks and Nut set M12x1.25 Black
Like I said, no wheel lock is going to stop a determined thief but it will slow them down. 2 lock per wheel is enough to make most people walk away. Unless you've got super baller wheels and leave your car over night in the ghetto, you should be fine.