You can buy a special socket:
Emergency Lug Nut Remover
or you can just hammer an old socket onto it. I've had good luck using an old socket, but I forget the size. 13/16"?
Eric the Car Guy has some great videos. Here's his lug nut removal on YouTube:
https://www.youtube.com/watch?v=mJUUyjJqk5A
Get rid of those locking lug bolts before they are a problem.