One of the first things I did after getting my Z was track down some wheel locks, as the car didn't come with any. Indeed, I even tried to purchase a set from the parts dept., and they didn't have any that fit the 19" Rays wheels that are part of the Sport Pkg.
There's a thread on this topic, if you want more details:
Wheels Locks
But I'll go ahead and give you the net of things. The regular McGard locks that the Nissan parts dept. will tell you fit all Nissans won't work, because the lug nuts aren't the regular cone style that come with most Nissans -- they're shank style. Here's a pic comparing a regular Nissan lug nut on the left, and the Z's lug nut on the right. The contact point is the washer, so you need shank style wheel locks that also have this design.
On the advice a friend who works in the wheel business, I ordered a set of McGard #21153 locks, and they work perfectly.
This first pic shows the wheel lock on the right:
And here are some pics with the locks mounted:
Update: Since this was originally posted, Nissan now has proper locks for the Z in the same shape/size as the stock lug nuts. I recommend getting those instead of the 21153s pictured above.