Trying to get my rims on my previous car, I went through a dozen of different brands/types of locking lug nuts. Every single one of them was easily removable using just a socket, the keys were useless.
Finally, I got a set of McGard (
www.mcgard.com) locking lug nuts. The key fits into an indentation in the middle of the lug nut, not just a special pattern around the lug nut. I would say those would be your best bet.
However, if someone wants your rims bad enough, they'll get them. I broke the top off one of the locking lug nuts before, and I just hammered a 12-point socket onto it and got it right off.
Also, some tuner lugs thats also require a key but technically aren't locking, would be a good idea to add to the locking lugs.
I have always kept my lug keys in the glovebox, but my glovebox locked in the previous car. I'm sure you can find a good hiding spot somewhere in the car. Inside the jack?