I think a differentiation has to be made: Are the covers on the lug nuts coming off (so a plastic cap comes off but the actual nut and tire still stay in place), or are we actually talking the lug nut spinning or coming right off allowing a tire to come off)? The cap coming off isn't much of a problem because the tapered base of the nut still should be there holding the wheel...but the problem is finding the right socket to get that nut tight or loose (it can create a problem trying to get the nut off in an emergency situation because now the nut is "smaller" without the cap than with it).
After about three years of ownership, I had two of the caps coming off. My tire retailer had some solid, one-piece nuts (non-capped), which fit (12 x 1.5, I believe), and I replaced all my nuts to one-piece. For longevity, I recommend McGard or Gorilla branded nuts (McGard makes the Ford Accessories locking nuts).