Yes, we have them on our new Q3, but the car was ordered from the factory, not purchased off the lot.
Sticker price for "Audi Guard wheel lock kit" was USD $105.
I believe this modification was made at the port of entry as they provided a very precise little German box to hold the key and the four wheel bolts that were replaced during the modification.
I don't necessarily park in high-crime areas....I've just always had locking wheels, and the locks are a small price to pay for $1400 worth of tires and god knows how much for the 19" Audi wheels.