Most racing cars which feature a single lock-nut for each wheel use the different colors so that you don't get them mixed up. I believe they are threaded differently, so it makes a difference which ones go on which side.
Here's some shots of the blue nuts which are found on the right side:
http://www.centralcoastweb.com/nsxb/...ren/img061.JPG
http://www.centralcoastweb.com/nsxb/...ren/img070.JPG
http://www.turnermotorsport.com/F1LM/lm_top.jpg <-- lighten in Photoshop
And there are at least two shots of them on LM03 in this thread:
http://www.automotiveforums.com/vbul...d.php?t=140963
>8^)
ER