Since wheel locks only come in sets of 4, and the spare is hopefully the 5th wheel you have attached to the Jeep, it gets to be odd man out, unless you want to manage two wheel locks. So, I just went to Walmart, bought a locking bicycle chain type lock that is 3 ft long, covered in a black canvas so it won't scratch. Further, I took an old punctured motorcycle tube I keep around for such things, and cut to the right length. Slipped the whole affair through the tube to further ensure it won't damage anything, and so it's weatherproof, zip tied in about 5 or 6 places, then fished it through the wheel and tire carrier. It will also lock my high lift jack when I get around to getting one and mounting it to a bumper/tire rack.
The way I view it, you won't stop a determined thief from stealing your Jeep, or anything attached to it. You will only make it just hard enough to discourage the one who checks out your Jeep and convince him to go to someone else's vehicle. Nothing is safe around a determined criminal.