As mentioned, the standard nuts are AS6222 (plastic).
These are designed to be used on 4-40 OR 5-40 so on a 5-40 are quite tight.
AE do have a 5-40 locknut. It's used on the slipper for a B4/4.1, although I've never used them myself for wheel nuts.
http://www.teamassociated.com/parts/details/6629/