Most wheel locks can be easily defeated but they may act as a deterrent to the casual thief.
The common way I've heard of wheel locks being defeated is to put a socket that's marginally too small on it and whack it with a big hammer. It ruins the socket but gets the lug nut off.
If a thief wants your wheels bad enough he only needs about five minutes.

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2008 BMW X5 4.8i (E70)
Alpine White, Burl Walnut, Nevada Black, Sport Package, Cold Weather Package,
Premium Package, Technology Package,
Rear Climate Package, iPod adapter