Wheel locks are a great way to help protect your expensive alloy wheels. Factory alloy wheels can cost several hundred dollars each and some more than a thousand dollars each.
Wheel locks are used in place of the wheel lug nuts. Usually one lug nut on each wheel is replaced with a wheel lock that can only be removed with a special key.
They often have a smooth outside surface that a wrench cannot grip onto. In the center they have a special design that only the key with that same special design can fit into. Some other wheel locks can use irregular shaped outer splines or uniquely shaped internal sockets.
To install and remove the locks you must use the key that fits into a regular socket or lug nut wrench.
Wheel locks are available as chrome plated or colored to match your regular lug nuts. They are specially hardened to resist being broken off. They are sold in a set. One lock for each wheel and come with the special key and identification information and often a sticker with the lock code.
If you lose your key you can contact the manufacturer and get a replacement key. There are dozens of special designs for the keys so you would need your lock code to get the correct replacement key.
You will need to keep the key in the vehicle in case you have a flat or other reason to remove a wheel. But you might want to put it in a not too obvious place so someone wanting to take your wheels can not easily find it.