When installing your wheels, it's important to torque the lugs on properly.  Wheels are often over-torqued onto a vehicle's hub, which can lead to brake problems or difficulty removing the wheel later on.

The best way to torque your wheels is by hand, using a torque wrench.  Your owner's manual contains the optimal torque specifications your vehicle.  After your first 100 miles or so, double-check each wheel to make sure the torque has not changed.