I went to ATS, and they were rubbish, said i needed the key to get it off, i bought the reverse thread locking wheel nut remover, only to find it was too big to fit in the hole of the nut!
So anyway took it to my friend who owns a garage, he prompty took a socket (one with a hole all the way through) and hammered the socket onto the nut, one twinge and it was loose, the only prob was getting the nut off (hence the hole all the way through) it can then be tapped out with a screwdriver from the other end.
You do have to hammer them on till they bite though, its a cheap and very effective way of removing these IMO.
Dan