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Are you talking about the locking lugs or the locking key to unlock the lugs???
NO LOCKING LUGS ON WHEELS:
The Z06s don't come with the locking lugs anymore, you need to see your friendly GM Parts Person for the McGard made GM locking lugs. Ken Fichtner also has them on the forum at a reasonalble price.
LOCKING LUGS BUT NO KEY:
If somebody already installed a set of locking lugs, but didn't give you the key, then yes, you need to go back to the dealer. Typical hiding places for the key might be the inflator kit, the center storage, the ashtray, the glovebox or the cup holder. You should have also gotten a registration card for the lockset with your information packet that included the owner's manual, etc. This has a registration number on it, and if by chance nobody has the key, you can send this in and get a replacement from McGard.
Just to summarize........... the Z06 does not come with a locking lug set. If you have a set installed on your car, then the selling dealer put it on there. This is only if you bought the car brand spanking new and you're the original owner, otherwise anybody could have put a set on the car.
There is a storage space in the trunk for the socket that will remove the lock nuts. It is located along the top of the "wall" that separates the deepest well in the trunk from the small shallow well on the left. Lift the carpet from the bottom of the well, feel along (under the carpet) the top of the divider and you should find an indentation where the socket is (or can be) stored.
Thanks for all the advice. I haven't looked in the trunk yet, but I guess there likely won't be anything there. I wonder why they don't do locking lugs, my coupe came with them. I guess people don't steal those cheap supercar tires :confused: