You can get Pinheads which require a special key to undo them, each "key" is unique. They run $30 - $45 depending on if you get just the wheel set or one that also locks your headset & or seatpost.

Or use two locks, one to lock the front wheel to the frame (or to the rear wheel and frame) and the second to lock the frame & rear wheel to the post or bike rack. This makes the bike a lot more work to steal, offering a little more piece of mind. But then again, it just may make the thief that much more determined to solve a puzzle.

edit; Lastly it may be possible to get solid axles and nuts, but depending on your hubs, it may not be as easy a thing to do. You'd need to measure the axle diameter, length and have them match the threat pitch or you're going to need to get new cones and locknuts as well. May be more work, and or money.