Lock up and secure your car at night in a garage if possible. If you must leave your car parked in the open, then park it under direct light and if possible remove your expensive wheels, rims and tires and bring them inside (it is always a good idea to remove all the easily removable valuables from your car when not using it). This may seem like a tedious task, but believe me, if you paid $10,000 or so for a really nice set of spinners or similar, how mad and frustrated would you get if they got stolen?
Most car insurance companies will only reimburse for standard factory wheels and tires that were originally equipped with the vehicle, so unless you were able to purchase separate wheel insurance from the wheel shop you purchased the wheels through you will have to brunt the loss.