Reddit mentions of M5 Tamper-Resistant Security Screws Assortment Kit, Stainless Steel,Pack of 52-pieces

I store all of my wheels inside if I can. When I do go out I usually just lock the wheel itself. If you want a bit of extra security, you could get some security screws for the bearing holders. You still need to wrap a lock through the wheel, but you could also wrap it through the loop of the frame. Of course, then you need to carry an extra tool yourself. Unicycles aren't a big target, but nothing left outside is entirely safe, and even the best locks will only hold a thief for a little longer than a cheap lock. On top of that storing wheels inside will prevent rust and dry-rot of all your rubber parts. For quick trips into the store I generally just bring it right inside the door and prop it in a corner. Nobody has ever gotten on me for doing that. (7 unicycles, 3 bikes, and a longboard)