If this place is as bad as it sounds, Go buy some 1000 dollar honda beater. If I was going to steal somthing off a car, I would just take the WHOLE DANG THING. Id be more worried about my alarm system than the wheels. No matter what type of locking lug nuts you get, poeple can still get them off. All you need is a slightly smaller socket, and hit it really hard with a hammer till its stuck on there.
There really is no way for you to escape the fact that people steal... and some are very good at it. Putting something like a cover on there will only make it worse, because now people want to know what is under the cover.
Buy a beater or JB Weld your lugnuts on. (im serious about that jb)