Clifford alarms feature an optional "tilt sensor". They use gyroscopes I think to determine whether the car is in the process of getting towed. It's difficult to have it properly caliberated and working, however.

Also, a proximity sensor may also work. A nice strobe outside by the wheels going off will prevent casual thieves.

And yes, there are ways/tools for shops to take off wheel locks without using the key. It's a bit difficult but can be done. And supposedly not many people/shops are supposed to have those, so you shouldn't worry that every wheel thief will carry some of those.

If you're paranoid, etch the inside or the outside of each wheel with a VIN/Driver's License #. And if the police ever recover those wheels, they can give them back to you.

And multiple sets of locks also can work. It makes the car more difficult to steal, which is a good deterrent. Find other ways to make the thief inconvenient in stealing your rims. And Honda wheel locks are ok, I think. I've never heard of a theft of Honda OEM wheels with wheel locks on. But then many of them aren't that expensive or desirable as aftermarket wheels anyway.