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Just as an FYI for anybody that doesn't know what we're talking about
They're called Tinnerman Nuts.
They are only put on the wheel lugs to hold the rotor on while the car is going down the production line. Once the brake calipers are installed they will hold the rotor on, but putting on the wheel is what really holds the rotor on the hub.
As has been said in a previous post, the stock wheels have a countersunk area on the inside of the area where the lug sticks through the wheel - it's a big enough area for these Tinnerman Nuts to fit into and the wheel can mate up flush with the hub. On aftermarket wheels without the countersunk area, the Tinnerman Nuts will not allow the wheel to mount flush with the hub - and you'll get a wobble.
You can take these off and throw them away - they are not needed for stock wheels, and you definitely don't want them with non-countersunk aftermarket wheels.