I wouldn't run locks. No need. It just introduces potential for difficulties in the future (lost lock socket, stripped lock nut, etc.). Do you see a lot of cars on blocks without wheels in your area? I just don't think people need to worry about it.
'08 E90 M3 - Alpine White - Sold
'13 E92 M3 - Silverstone II - Sold
'04 E46 M3 - Jet Black - BBS E88, KW Clubsports, Brembo BBK, SuperSprint Exhaust