Not sure if many know about these, I only recently found out about them. After hearing about recently stolen wheels, these might help a little.
36-13-6-792-849 SET WHEEL LOCKS MSRP $90.60
You can get them cheaper online or thru Mike @Maranello
Be careful not to buy the ones for the newer X5,X6,F30,F10s, as they are not 12x1.5mm
These have a spinning outer cap, which prevents a simple wheel lock remover tool from grabbing the outside edges and be able to remove it. I'm sure it won't stop a thief completely, but it should slow them down a great deal if they are expecting to easily remove them using a traditional lock remover tool.
Realistically if a thieve has enough time, they will get what they want.