Security lug nuts are fine. Just keep the key with your jack and tire iron in your vehicle. If you have a purpose built off-roader, I would not bother, but I daily drive my Wrangler and I work in a not great neighborhood, so having just one more impediment for would be thieves to have to go through is reassuring to me. It’s the same reason I got locking hood latches and a locking gas cap. None of these things are 100% effective, a smart and equipped thief will get passed anything, but it prevents crimes or opportunity and hopefully dissuades would be thieves from going to my car over the less secure one down the street.