If I had an exposed spare tire I might get the expensive Gorilla ones to stop opportunistic theft, but otherwise they seem to be more of a problem than a solution.
Last summer parked at an event for an hour the two RAMs near mine had their locked wheels stolen. One had a window smashed and the wheel key was missing from the glove box so I guess it gave them trouble. Thankfully my unlocked steel wheels were left.
My dad looses wheel keys as a hobby (he claims the repair shops he frequents forget to give them back). He had the original gorilla locks but did not want to pay the shipping to Canada. I needed to heat a socket to allow it to get a grip on them, but had them all off in just a few minutes. One was very rusty, which was kinda disappointing given the price. Not sure the other brand, McGuard I think, the outside spun. Hammered roofing nails into one to keep the outside from just spinning enough to use socket, but with the others found I could just hit it with a punch a few times and that ring broke off as they were very brittle.
A few spline drives were included with my Harbor Freight lug nut socket kit so don't believe that would slow enough people down to be worth any cost.
BleepingJeep tests 8 or 9 removal methods against several different lock types.