I have these. Basically, it is a ring that goes inside the ring of the hubcap. There are three allen bolts. When you tighten the allen bolts they screw into the cap which puts ALOT of pressure on the cap and where the cap and wheel seat, hence, "locking" them in place.
The downside is, the little punk who is trying to steal them will probably scribe his screwdriver into your alloy rims all along your cap.
Actually, I am no longer running my locks. I had to keep taking the locks on and off when I had the tires replaced, and again when I had a flat tire. You will have to have the locks removed again whenever you get the tires balanced.