I have always used locking lug nuts, at least one per wheel, because I prefer my alloy wheels to remain attached to my car when it is unattended.

The Toyota brand locking lug nuts take a special shaped socket adapter, and they break very easily. When one breaks, it takes several hours with a dremel tool to get it off, and then the lug needs to be replaced, too. (I have done that, twice.) You can't even torque those locks to the full 80 ft-lbs without breaking them.

I now use the "Gorilla" brand wheel locks. They have much larger contact area between the nut and the special socket, and the contact area is further from the centerline, so they don't break easily like the Toyota brand locks. And, to a casual observer, they look more like regular lug nuts.

The Gorilla wheel locks are available from a variety of retailers, of course. I got mine on ebay. I got a set of 20 so that all of the lugs would look the same. The Gorilla locks have a 13/16 hex head on the end of the key (a special socket). The 21mm socket on the lug wrench that comes with the car seems to engage that hex head well enough.

The main thing is, of course, that I am confident the wheel lock will not break, and I will be able to remove it when I need to change a flat tire.

You can see what they look like and read about them at: http://www.brandsport.com/grla-73631t.html or http://www.brandsport.com/grla-73633t.html
(I am not affiliated with brandsport.com, and do not recommend that site. These links are just because they have the product information for the Toyota version handy.)