I just went with a locking lug nut fiasco on my 93. I didn't post it here, but the results were dismal.
If you have a lug nut that'* close to shot, remove that one FIRST!! I had one that was badly mangeled, but took off all the others first. Not thinking that it would increase the load on that one remaining lug, it did! I'm kicking myself for it.
The key badly mangeled the lug. It was a mess. I ended up having to grind it down (lug and stud) to the surface of the wheel, then touch it up with my Dremel, then start a pilot hole of 3/16" in the center of the stud, and work my way up to a 3/8" hole in the stud until the stud finally broke off. Then, the wheel came off.
I ended up having to change out the stud (obviously). Got a fresh one from AutoZone and bought four new non-locking nuts and replaced the other three nuts at the same time.
Morale of the story...take your time and loosen the locker first!!