I probably should have been clearer in my post, since it occurs to me that we may be talking about two different things.
The things I bought look like this:
The nubs on the side are all spaced differently, meaning that the socket adapter you need to remove them is made differently for each set. That is the kind I was referring to when I mentioned "you can often hammer a cheap socket over the nut and at least take the thing off".
Then there are the kind where you use an actual key like a house key to take the lock off and get at the "real" lug nut underneath it. Among other things, I am a certified locksmith and feel that those would not be very hard to pick. The trouble is, most locksmiths will charge you fifty bucks just to look at them.
Can you take a picture (or find a picture of something similar on the Internet) of what you actually have on the Jeep? Also, are ALL of the wheels like that, or just one lug nut on each wheel? I just put mine on the spare since I have stock wheels and didn't expect anyone to go to the trouble of jacking up the car to take any of the others.
(I did have a neighbor years ago with a nice sports car and VERY expensive custom rims. One day I came out to see all four wheels gone and his car sitting on cinder blocks where thieves had ripped him off in the middle of the night.)