You can buy locking wheel nuts from any auto factor or dare I say it halfrauds.
I would say they are not worth the money. I once lost the key to mine, and 5 mins with a socket and hammer I had them all off. Anybody wanting to steal your shiney wheels will know that trick too!
The only true way to stop that kind of thin IMHO is to put those huge hub nuts to hold your wheel on, Formula 1 style. I have no idea what is involved and even if you can do it with your wheels, just a thought