I was removing my wheels to make it easier to get at the axle grease zerks and wound up mangling one of the "chrome" sleeves that cover the actual nuts by not seating the lug wrench deeply enough.  I could not get a purchase on the mangled nut to reinstall it and had to replace it.  Fortunately this happened in my driveway.  When inspecting the rest of the nuts I found that 6 of the 10 had cracks in the sleeves so they were a problem just waiting to happen.  The bases of the actual nuts were rusty so the chrome sleeve did not actually solve a problem.  I wound up replacing all the lug nuts with NAPA part # 641-2146, Wheel Nut 1/2-20, for about $30.  These are chrome looking solid machined nuts and should prevent the problem.  I was surprised to find that the OEM nuts were sleeved rather than solid.  What a place for a cosmetic surprise.