If you want to purchase the Gorilla wheel locks in this thread, you need to be very careful which Gorilla locks you get. Gorilla makes five different wheel lock designs:
1. Original Gorilla Locks: These are external security pattern lug nuts. The standard Acorn style in 14x1.5 mm (71641N) is not recommended for the Model S. These lug nuts are only 1.40" long, which is shorter than the factory lug nuts. This causes the lug nut to seat on the end of the stud rather than apply pressure to the wheel at the cone face. This will cause uneven wheel/rotor forces, possibly causing warping, and can gall the threads at the end of the stud.
If you want to use this style, you can use the Duplex Acorn style in 14x1.5mm (76641N), but they are 2.20" long and will stick out.
2. Gorilla X2 locks: These are external security pattern with two stages, a free-spinning top section and the main bottom section. I have not tried these, but they are longer than the original Gorilla Locks at 1.55". In 14x1.5mm, they are part number 71641X. I may order a set of these to get some measurements to make sure they will clear the stud and seat on the cone face.
3. Gorilla "The System" Locks: These are an entire set of the Original Gorilla Locks where instead of one external security pattern lug nut per wheel, all 5 lug nuts on each wheel use an external security pattern and require the key. These in 14x1.5mm (71643N) have the same problem as the original gorilla locks -- they are too short at 1.40", and as such are not recommended.
4. Gorilla Guard II Locks: These are a slightly redesigned external security pattern lock, but the diameter where the key goes is smaller and the key grooves are shallower, making in more difficult to use the "hammer-a-socket" trick. These in 14x1.5mm (61641N) are 1.50" long, which is borderline. I haven't tried these.
5. Gorilla Guard Locks: These are the locks referenced by ChrisTX in this thread. These are external security pattern lug nuts protected by a free-spinning sleeve to prevent the "hammer-a-socket" trick. In 14x1.5mm (61641) these are 1.60" long, which is long enough to ensure a good seat on the cone face. My measurements of these with my calipers are a length of 1.594" and can accommodate a stud depth of 1.443".
For reference, the factory Model S lug nuts are 1.608" long, and can accommodate a stud depth of 1.579". I have also measured the stud length that protrudes past the cone seating surface of the factory 19" wheels at approximately 1.350". Thus, any aftermarket lug nut or wheel lock needs to be able to accommodate this stud depth, probably with at least 0.1" of clearance to make sure that elastic deformation of the stud under 129 ft-lbs of torque has room inside the lug nut. Thus I would not use any lug nut or wheel lock that is shallower than about 1.450".
If you're also using aftermarket wheels, then you need to measure your stud protrusion specifically. If your wheels are thinner around the studs than the factory wheels, then the cone seat is closer to the hub/rotor, and therefore the stud protrudes more, requiring a deeper lug nut.