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.
'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