That sucks dude, at least you got it done. Seems like every tire shop I've seen uses air tools to slam on lugnuts.
Volk's attempt: After you remove the screw, you have to use a 7 sided allen key. The exterior of the lugnut spins freely.
Watanabe's: I believe this is a sleeve over an ordinary lug, that can only be removed with the key. I don't know the sleeve material or how effective this would be against thieves.
But as pointed out, it's not uncommon to see hubs removed or parts of your car cut just to obtain the wheels.