OEM lug nuts suck. The internal threads seem to be soft and easy to damage. They definitely do not hold up well to regular mounting and dismounting, even if handled with care.
Personally, I don't think there is much "speed" to be found in lug nuts alone, unless you are in a racing class that allows for a huge range of mods. I look for reliability and convenience of use.
I wanted a cheap fix and picked up a set of these steel ones a while back and they are great! Just long enough that they are easy to handle and thread on by hand and being steel, there is no worries that they will stretch with heat.
http://store.arkdesign-us.com/Wheel-...HORT_p_51.html
They use a 17mm, so being slightly narrower than stock (19mm) is good if you have have any clearance issues with your aftermarket rims.