A couple of days, ago, I had a blowout on the freeway. It's a good thing that I had purchased a second key for my Toyota branded wheel locks. Changing the damaged tire with my full size spare was easy. Unfortunately, I left the wheel lock key on the lug and drove off. WhenI git to the tire store, I looked everywhere inside the car for the key and never found it. Realizing this, I remembered that I had put the extra key in the space provided for it in the foam holder for the tire changing tools. Now, I will order another replacement key. It will definitely worth the cost. Another helpful thing to do is to label the key with; Finder please call or text: (Your phone number) This would help, if the tire shop failed to return the key, or if it was found by a nice individual.
Subaru dealer forgot the key when I picked up the car. Since there multiple key patterns, it was easier for them to just install a new set of lock lugs with new key. I'm just thinking of replacing the lock lugs with standard ones.
Yup, early on I taped my phone number to the locking-nut socket. Then for good measure, I purchased four extra regular lug nuts, retired the locking nuts. Belts and braces. Speaking of ID for keys, I've got a couple of house keys plus the Prius fob on a ring, added an ID tag to it. I heard recently that having phone numbers and email on a tag might lead to identity theft, so switched to a War Amps tag.
If you live in a high crime big city and have really expensive wheels maybe a lock would be worth it... But in general they are dumb because of the problems outlined in this thread. A couple years ago I did work trade for an '86 Toyota truck with some really nice and very old centerline wheels with wheel locks that no one has the keys for and I'm going to have to buy or rent a nut breaker to get them off by destroying them. It's one of the reasons I rarely drive it.