Maybe get a set of those spline lug nuts that require a key/adapter.
Yeah, theives know how to get around wheel locks by jamming a socket, but that takes time and may damage the rim. They’re looking to spend as little time as possible and may look at easier targets, so I don’t think it’s a waste.
If you have a lug set, that means 20 sockets? Unless it’s some $$$ forged rims, they’ll look for easier targets