Wheel Lock Nuts...?

I'm planning on getting some new wheels for my xB this Christmas, but I been debating on getting them due to a certain reason.

Theft takes place everywhere, but in my particular city. Cars being stolen is likely. Where as I don't believe they will try to steal my car cause of newer model and alarm system. But I'm worried that my wheels may get stolen and I will wake up with my car on bricks.

Any suggestions on ways to lock my wheels so it cant be taken?
I seen wheel lock nuts... do they actually work? do they come in different colors? opinions are welcome please Thank You