Stock lug nuts seem to have pretty soft threads. If you are constantly swapping out wheels, the threads seem to go bad pretty easily. If it gets too bad, it can even damage the stud's threads.
Switch to any conical type lug and things will easier.
Personally I go for the steel ones, as the aluminum ones tend to stretch and lose torque. Not worth the risk, imo.
If you want to get the best of the best, there's the Project Kics R40. I've used them and they are fairly lightweight and awesome!
