Personally, I prefer not to fit lock nuts. If my wheels get kncked, I'll claim the insurance. My attitude is, if they are gonna try and pinch the wheels, and are unable to, they are just as likely to break a window or do other damage.
Good point, but ever since I witnessed my step-fathers brand new Ford Capri propped up by the pavement one side and bricks the other, I realised the importance of locking wheel nuts.
TBH, the wheels are pretty naff at the mo and not likely to be nicked, but I'm considering having them professionaly refurbed - so I'll prob want to have them lockable then.
Cheers,
Si.