Check to see if your car has antitheft “wheel locks”, specially shaped lug nuts or lug bolts that can only be removed by a unique “key” which fits onto the lug wrench and over the lock. If so, make sure you know where the wheel lock key is stored. The point at which you need to change a tire is the worst possible time to learn that you can't remove your wheel without a small metal part that you can't find. Always make sure that anyone who services your tires or wheels puts it back where it belongs.
Unless you have very expensive or very desirable wheels and/or live in a high wheel theft area, I don't really recommend wheel locks. In my experience, for most drivers they're more trouble than they're worth.