Are wheel locks stupid?

I haven't needed to change my tires yet (knocking on wood) but I noticed my tires have that one lug nut that is different from the rest and requires a special tool from the trunk. Is using that tool a lot of trouble?--it seems like something I wouldn't want to mess with on a dark rainy night while I'm putting on the spare. Do they really give any security (and are there that many tire theives to worry about)? Should I replace them with regular lug nuts, or does it not matter much?