Yep, I have the same conundrum... my VX has (relatively nice) alloy wheels (they came stock, made by Enkei)... I have no desire to drill into them, and I also don't have the cool center caps like Carlos has. Also considered the steel wheels, but the alloys are so much lighter (~9lbs vs ~14lbs for same size steel).
I think I've figured out a solution in my case, but still testing...
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