Depends on the wheel lock.

As was mentioned there are reverse thread tooks out there that can be used to take off some wheel locks, while there are also other that can be slammed on a wheel lock and then removed as a whole.

There are wheels locks out there now with collars, metal sleeves that spin, and some locks are just too shallow so that these kinds of tools cant be slid or slammed over the lock in the first place. McGard(makes the OEM locks) and Gorilla are two good companies, but they both make low end stuff as well which can be removed using the tools mentioned before, so go to your local shop, and ask the guy there to show you some good wheel locks.

P.S. Unless you have some OEM wheels which are really in high demand or are a high theft rim, unless you have expensive aftermarket rims, I wouldnt bother with high quality aftermarket wheel locks.