
Well, it depends on what kind of locking lugnuts you have.  My previous
car had locking lugnuts that weighed about 2.5oz. more than the others. 
The locking lugnuts were factory equipment, and according to the factory
service manual, after tire balancing the technician/mechanic was
supposed to put a 1/2 oz. counterweight on the rim opposite the locking
nut.  I always had vibration problems with those stupid lugnuts since no
one ever did the service correctly. I eventually got rid of the locking
lugnuts and replaced them with the standard lugnuts.  Unfortunately, I
found out about the counterweighting technique 6 months after I got rid
of the locking nuts. :-(

My present car, a Saturn SC, has locking lugnuts that I bought at the
dealer and are made specifically for the Saturn.  They have been made to
be exactly the same weight as the non-locking lugnuts (said so on the
package and I verified it myself).  I haven't had any vibration problems
with the tires at all (due to the nuts) in 12,000 of ownership.  I did
have some other vibration problems, but it was due to a poor job of tire
balancing.