Help! I REALLY need a REAL car persons help!!!?

My wheel was stolen off of my car last night. I have an alarm system but it didnt go off even after they dropped my car when they got the wheel off!! WHAT CAN I BUY SO AN ALARM GOES OFF IF THEY TRY TO COME BACK??? I heard I can buy something and put them on my lug nuts/wheel so that if someone tries that again an alarm goes off. Is this true?? If not what can I do? I feel so helpless!!!! :(