Wheel locks = hassle. They end up hindering the owner of the car more than thieves. Ask any tire shop, people lose their keys all of the time. Maybe I'm a little sheltered, but I have only seen one car on blocks (with it's wheels stolen) in my entire life. The risk just isn't high enough to justify locks IMO.
'13 M3 - Silverstone II - Sold
'04 M3 - Jet Black - BBS E88, KW Clubsports