Axial M4 wheel nuts have a good amount of nylon in them and secure the wheels quite well. Hopefully they will be back in stock soon so you guys can try some. The nylon does wear out and they do need to be replaced often (me especially because I remove the wheels and clean the tires nearly after each run at my local racetrack) but it's a small expense if you want the wheels to stay on!
http://www3.towerhobbies.com/cgi-bin...?&I=LXSAV0&P=7
Kyosho wheel nuts also work well and keep the wheels on better than Tamiya nuts also.
EDIT: Another fair price for 20 locknuts but I do not know how well these hold the wheels on.... someone else can try it
http://www3.towerhobbies.com/cgi-bin...?&I=LXFUR5&P=7