I'd recommend against any "locking" quick releases that are supposed to only unlock when the bike is inverted: they suck in all ways. It is super annoying to remove the wheel (and will make your local bike mechanic frown for a few seconds when they work on your bike), they are typically made of really soft metal that deforms, they usually have poor clamping force, and they can usually be defeated while upright. Another disadvantage is they look like normal QRs, so a dumb thief might just damage them or your bike while trying to use them.

Simply switching to skewers that use hex head bolts will deter the majority of likely wheel theft. The Delta Hublox is pretty cheap also, and uses a non-standard fitting that is more secure yet. The most secure would be Pitlock skewers, followed by Pinheads.

I'd only bother with security skewers on wheels not otherwise secured with another lock. I typically lock both my rear wheel and frame, so I'd run only a front security skewer. Also, theoretically, it's really easy to steal the entire fork and front wheel on bikes with threadless steerers, but in practice I don't think that happens very often. If you're concerned, both Pitlock and Pinhead make security topcap bolts.