jetski's toolbox - today: the most simple DIY wheel anti-theft nut

The material science isn't there yet to cope with the concept (even if you're using a double nut arrangement) because the stuff these parts are made of is too weak. You have to go a long way up the bling scale before axles and nuts could stand the removal of material & retain sufficient strength. I'm thinking Royce quality not old Campag stuff, and even Cliff there would frown on the idea from a structural point of view. He doesn't even approve of radial lacing because he knows that metal 'moves' when you give it some welly.

I doubt drilling the nuts and axles, and then replacing with a pin would cause any undue weakness. This is a bicycle designed to take one persons weight. the drilling would be outside of the drop-outs, where the force is applied, the nuts aren't that big entirely for strength, more because its a handy size to get a spanner round.
Magnus, my idea about the grub screw was to fit it from underneath, so a would be theif would not see it.

I think the difficulty and accuracy of drilling required, possible stretching of the axle when tightening throwing out alligning, and general fuss of upkeep are the problems with this, rather than weakness of material.