http://www.youtube.com/watch?v=eeDBpKyl8i0
Found this on the internet 30secs after reading your post. A commenter suggests he's not properly installing the locking nut, I'm not familiar with how this works exactly, but I think most would agree that wheel locks are a deterrent rather than security; they'll slow the thieves down but if they really want your wheels, wheel locks won't stop them.
Some suggest putting multiple wheel locks on your car, which I will probably end up doing, I order some BMW factory wheel locks and will be ordering some Gorilla wheel locks as well.
There was a post somewhere on here that mentioned a company that has $400 dollar wheel locks that they guarantee will keep your wheels safe or they'll replace your wheels and tires if they get stolen.