They're not hard to remove even without the key. I'd first try a big set of visegrips to unscrew. If that doesn't do it, pound a 12 point socket over the lug nut that is just barely big enough to fit over it when pounded onto it and then use a ratchet wrench to remove it. To me, locking lugnuts are more of a PITA than they are worth. Any determined thief can get them off in seconds.