Wheel Lock Lug Nuts
One of the ways to prevent stolen wheels is to use a security lug nut, also known as wheel locks. Traditional lug nuts use a standard socket wrench to remove. Security lug nuts are specially designed to be a lock and key such that you need the correct socket to fit the lug nut.
The one catch is that a thief could use a regular socket and hammer (making LOTS of noise!!!) the socket onto the lug nut. This is demonstrated by this You Tube video. Using this approach damages both the lug nut and the socket.
It is possible to buy enough wheel locks to use for all the wheel bolts on your car. This way if a thief does try to steal your wheels he (or she) will need 16 sockets (or 20 if each wheel has 5 bolts) since each will be ruined to remove one wheel lock. In this case, a thief is most likely going to target another vehicle that requires less effort.
Gorilla Auto - The most commonly known wheel lock product on the market.
KICS Racing Gear - This company offers a Dual Phase System Wheel Lock Nut. I cannot find a manufacturer URL, but you can buy this product from a variety of places online.