depends on the make you got, but in most cases the spline drive are designed to not scratch the wheel as much as your OEM ones.
Only if they are better quality spline drives like McGard.
The cheaper ones usually included with wheel purchase from places like 1010tires do not have the separate washer that spins independent of the lug.
The washer is what protects the wheel paint as it remains constant against the wheel while the lug spins.
Spline drive lugs (also known as tuner lugs) are sometimes the only type of lugs that fit on certain types of aftermarket wheels.
The spline key is thin wall and will fit in the lug holes, whereas a regular 19mm socket is too thick.
Cheap n crappy (ie. doesn't protect the wheel)
Quality ("washer" spins)
McGard v. oem acorn (the spline key is no wider than the widest point of the lug, whereas a 19mm socket adds quite a bit to the lug itself and will not fit in certain wheels, like Enkei NT03+m)
None of this counts the "thief" factor as others are mentioning.
However, splined or not, if someone wants your wheels there is always a cheap way. Take a look at princess auto. Those lug removers can work on splined lugs just as well if you do some googling.
