I used to use (optional Volvo) wheel locks on my '98 v70-t5 until one of them crumbled when trying to remove a wheel. Several tire shops refused to touch the problem, but luckily, I found one with some creative extraction tools and a gorilla of a guy to wrench it off. The alternative would have been Very Expensive. That was during my fifth set of tires on the car (I'm now on my eighth @ 178K miles). There are enough alloy wheels around now for me to not worry about them being stolen. It also helps that I'm not in a high-crime area, just average.
The moral: Locking lug bolts don't last forever, particularly if subjected to impact wrenches (used by most tire shops). The more you diddle with them, the sooner they will fracture. I rotate my wheels (swap fronts to rears) every 5K miles to even out tire wear, so the wheels get unbolted frequently.
Since you have an "R" (lucky you!), you probably have the titanium wheels, which are a bit more expensive, so locks may be preferred, but if you drive a lot, I don't recommend them unless you replace the lock bolts periodically.