I got this tip from a friend who works in the industry:
While you can - take the locking wheel nuts off and put a spot of grease on the threads and replace.
This could prevent all sorts of problems later on.
I know of 2 people who could not get the locking nut off after getting a puncture.
One had the AA out and the AA man actually snapped the nut resulting in a lift and tow to the local garage.
I know it is advised not to grease wheel nuts - but I have made an exception with the locking ones.
Also - if you do have occasion to have a garage take the wheel off ..... ask them not to use compressed air to put the locking nuts back. Do this by hand.