As wheel lock removal tools go I prefer the type that cut their own threads into the outside of the lock to the fluted socket type. Unfortunately these usually wear out after two or three locks. The fluted socket seem to work better than the round "hammer it on tight" variety. Of those three, the hammer it on type is the only one that works at all well on chromed wheel locks without first removing some of the chrome, so if yours are chromed try to get some of that chrome off.
Another option is a pneumatic hammer with chisel. Use the chisel to make a groove in the outer edge of the lock, then push on the groove to turn the lock. Once it moves a little it should be easy to unscrew with needle-nose pliers or a flat screwdriver. If the locks are recessed in wells this may result in marring the wheel, so make some sort of protective shield.
Another method that works well with the McGard locks is to chisel straight in at the center of the lock as though you are trying to split it in half. A large chunk will break off which may allow you to grip the lock with vise-grips. If you can't reach in to get a good grip or the lock is on very tightly, chisel a bit more to try to crack the lock all the way to the far end. With such a crack the lock is instantly loose and can be easily unscrewed using chopsticks.
Edit:
Removing wheel locks is the sort of thing that's worth putting safety glasses on for.