yeah it happened to me...kinda. I bought my previous truck with some American Racing rims already installed. Well the brakes needed changed so i go out and realize that there is one locking lug nut on each wheel, but no key. The original owner said he doesnt know where it would be so I took it to a local shop where I know some guys. They used an impact wrench and Im not sure on the size of the socket (Id imagine a little bigger than the locking lug nut) It took some force and about 20 minutes but he got them all off and I gave him $10 under the table...long story short, its possible to get them off and replace them with an OEM or just buy a new set of 4 locking ones from Autozone or something
you will probably have to see if there is a locksmith tht can get it undone for ya. if you use visegrips i say you will either not get it or you will do some damage and possibly scratch the rim in the process.
Most auto parts stores (like O'Reilley's and AutoZone) sell a pair of special sockets made to remove wheel locks. I think they cost about $12, and they bite into the outside of the lock. Downside is they ruin the lock.
I've attempted to use the "emergency lug nut removal" things. They sucked. If you can get a set of vice grips in there to grip the lug nuts, that's probably your best bet.... Heck... It's what all the turds use down here when they're stealing some one's wheels.
^ you really need an impact for them to work right because the impact essentially hammers them on as its turning them until it grabs and they spin off. you can sometimes hammer te socket on to get it started.
When I left my key in the pits at the track one time, I ended up using my air chisel to get them off. Took a while but worked. Didnt have any welding equipment back then or I would of welded another lugg to the lock.