Every once in a while I'll watch an absurd video of a pit crew switching tires on a car. I can understand a lot of it is repeated practice; I don't understand how the guys running the impact find can get multiple lugs of off each wheel and then get the lugs back on all while not cross threading the posts in less than a second.
In F1 each wheel has a crew of 3 men to change it. Each wheel has a single precision machined magnesium alloy nut. It and the stub axle have a very coarse thread machined into them to minimise the number of turns it takes to tighten the nut.
The nut locking mechanism these days is a sprung auto locking type. Pins in the stub axle spring outwards and prevent the nut backing off once the nut has passed far enough over them and is tight. The socket compresses the pins so the nut can be removed.
The wheel gun is not a standard type either.. It's a far more powerful high flow gun with faster rpm than a standard type wheel gun (up to 9000rpm)
In Nascar the wheel nuts are sacrificial (they don't retain them between changes), the new wheel has the nuts already "stuck" in place with a light adhesive which are then tightened by an air driven wheel gun. There are five wheel nuts required now (regulations).
You can see in the images on this page http://www.msiracingproducts.com/wheel-studs-1#nascar-1 (I'll copy them across later) the wheel studs are tapered to stop the nut being pushed off the wheel when its held on to the hub.
The studs are made of a harder material than the nuts - therefore if you are going to cross-thread anything its the nut - and since you aren't reusing them anyway it doesn't matter.
You can see it here https://www.youtube.com/watch?v=A_ZCUnCD4hk
I think @Jankas comment is the most pertinent though, the wheel studs and nuts are not covered in rust like a normal every day cars are.