Well you can use the Bolt-Out tool sold by Craftsman, because they have flutes on the inside that will grab onto just about anything. However, many lug nuts are recessed in the wheel so you don't have any room to fit something over it. I believe the tools sold at auto parts stores work the same way.
The old method is to either use a pair of vise-grip pliers (if you can fit them over the nut) or a slightly smaller socket that you hammer onto the nut. You can also use an air chisel and a hammer, but you risk damaging the wheel and the stud. Another solution that many thieves use is to spray the lugs with liquid nitrogen which freezes them and then snap them off like an ice cube.
The problem is that even if you don't lose the key, you could still run into issues such as the key breaking, or some idiot who put the lug nuts on too tight with the impact wrench. If the lug nuts are on too tight, the key will snap when you try to get them off.
If you do get wheel locks, I have been told the Gorilla locks are the best, and McGard locks tend to break easily.
