I had thought of this as well, but my issue was I didn't want the locking lugnut to stand out.
I ended up buying a set of tuner lugs (Each lug is a locking lug) but they were far too "thin" for the rim and looked shitty, so I am using the stock lugs with stock lock and black plastic caps. Only lost 1 so far (at the car show of course..doh!)

LOL I bought my car with a missing plastic cover and I have yet to lose a single one in the last five years.