[SCadaddle]

I'd be inclined to drill into one of the existing holes very carefully to very near all the way through the anti theft nut. Then I'd chase that with a slightly larger drill bit. Then I'd hit it with a tapered punch straight on into the hole to try and break the nut at the spot you drilled it.

Once you get the first one off, you can use it as a depth gauge for your drill bits. Just wrap a piece of tape around the bit to know when you are really close to the bottom of the nut for the other 3 wheels. Or for that matter, you could just put the bit against one of the other studs without the locking nut and mark your bit for the depth of when you would start to drill into the wheel based on the end of the stud. Then put the bit in one of the small holes and mark that spot on the bit. The difference between the 2 marks would be the depth of your anti-theft nut.