I just did this successfully on my 04 WJ. The stock lugs are two pieces, and after getting your tires rotated a couple times by the boys at Merchants, the weld starts to break, the cap falls off and leaves you an ugly nut that doesn't fit the stock tire iron, making you round your nuts, stripping your ability to change your tire, and likely leaving you stranded somewhere very unpleasant... Sorry for the rant...
It was difficult to find the correct information so I figured I would share it here. After a few searches and a couple bad buys, I found McGard's lug nuts. They are awesome. Solid bodied, they fit the stock tire iron (unlike many others) look beautiful and come with a no rust, lifetime guarantee.
The lug size for a stock alloy rimmed 2004 WJ Grand Cherokee Laredo is:
Thread Size: 1/2-20
Hex Size: 3/4"
They need to be Cone seated to fit into the rim properly, and when installed they should be torqued down to 110 lbs.
I chose McGards lugs, which turned out beautifully, got them off amazon for $10 per-pack of four.
Product Number 64010
( Link to lugs on Amazon
So, get out there and get rid of the crumy lugs. The new ones will make your baby look crisp, and let you worry less about flats.
I noticed a few threads related to this problem as well, and I will re-post this in said threads.