the allen key ones donw’t work. I had some at uni and they were knicked. The wheels were locked to the frame so they didn’t run off with those, but my nice blue anodised ones were taken – ironically they looked nice and were obviously very knicable – moreso than the bike they were fitted to.
My Roadrat came with quick release scewers where the lever unscrews which seem better to me for the opportunist theif who is carrying an allen key around with them. Though the oppurtunist theif that is carrying an M4 bolt with them will be laughing.
The best thing to do is to keep your normal QR skewers and lock the wheels to your frame, if its security you want./