Every time I bought a car or truck with those lug nuts on it, one of the 1st modifications on the vehicle was to replace them all with real lug nuts. The best money I've spent, one time and your usually good for the life of the vehicle.

I've had them round off before. I usually drill the stud out to remove the unremovable lug. Start with a small 1/8" bit (I buy cheap new bits that i only expect to use a few times), keep it as centered as possible and as straight as possible. The small diameter drill bit usually cuts a lot faster with a lot less pressure required. Then step up to a bigger, then a bigger bit bit until you reach the stud diameter (usually about the 3rd bit in the hole). When the last drill gets to the bottom of the nut, they usually fall off. Then you remove the wheel, the brake drum or rotor, and replace the stud and all the lug nuts. I have not screwed up a wheel since I started drilling out the stud.

You have to be more careful ordering lug nuts these days, a lot of aftermarket lug nuts are the same shell covered crap.