Theres a few ways.....
1) Buy some proper Locking wheelnut removal sockets (ebay around £16 thats where i got mine from) Basically they look like a normal socket but on the inside they have a thread so when you go to loosen the nut the socket bites into the bolt and basically forces it out.
2) Get an OLD socket which is JUST too small to fit over the lock nut, then HAMMER the fu.cker on, you will ruin the socket but it should now have sufficient grip to allow for removal of the nut.
3) if all else fails, find someone with an Electric welder - get an old socket or a decent sized Bolt and get them to Tack the socket/bolt to the wheel nut then you can undo it with a ratchet or cracking bar (i specified electric welder because it's instant heat and only needs a short burst to limit the damage to your alloys, if it's done carefully you wont have any damage to the alloys) once had this done myself and you couldnt tell at all.