You just buy a set of four locking nuts in the right size (bolt diameter, thread, and seat type) There are basically two main types of seat; conical (also called acorn) and mag-style. The first uses a tapered seat to center the wheel on the stud. The mag style uses a flat seat with a shoulder.
Here is a photo of some locking lug nuts. You should be able to see how they work from this picture. These are acorn style, and the fifth piece is the key. You can see inside that key how there is a little shape that lines up with the clover-shaped slot on the nuts.
