To partially answer your question "JSH", I've looked into locking lug nuts and the bottom line is that NONE of them will deter professionals; they will merely slow them down a little bit...but they can be useful for the "amateurs" out there who don't want to bother working on them. You likely know that. Then there are types which spin or else they don't present an angled surface, making it harder to put something around them or (for example) harder to hammer on a somewhat smaller sized "socket" and then remove them once the "socket" is tightly welded to the locking lug nut. With that method, the thief might lose a socket but gain the tire/rim.
Anyways, the one I keyed upon with my research was the Gorilla brand Acorn wheel locks and they were available on Amazon.ca for just under $40/set with free shipping. Their upper lock mechanism was "free spinning" and they had fairly good reviews.
But then I started buying GM accessories for my (hopefully) soon to arrive C8 and decided to purchase the GM locking lug nuts as part of my order. So I can't speak from experience about the Gorilla's and perhaps someone else on the Forum who has tried them, might comment. But at least there's a lead for you or you can go with the GM's that SN-III has suggested and which I'll be picking up soon. Good luck and let us all know what you end up doing and how they work.