This is what I have in my 2000-04 workshop manual.
WARNING: Use only the integral two-piece swiveling wheel nuts. Do not attempt to use cone-shaped one-piece wheel nuts on these vehicles. If used, cone-shaped one-piece wheel nuts can come loose in vehicle operation. Do not attempt to use past model wheels, which have cone-shaped wheel hub bolt nut seats, on this vehicle. Do not attempt to use present design wheels and wheel nuts on past model wheel hubs. Attempted use of intermixed wheels can lead to damage to the wheel mounting system and could result in wheels coming loose.
WARNING: When a wheel is installed, always remove any corrosion, dirt or foreign material present on the mounting surfaces of the wheel or the surface of the front disc brake hub and rotor that contacts the wheel. Installing wheels without correct metal-to-metal contact at the wheel mounting surfaces can cause the wheel nuts to loosen and the wheel to come off while the vehicle is in motion, resulting in loss of control.
NOTE: Do not apply motor oil to the wheel nut threads or the wheel stud threads.
On all two-piece flat wheel nuts, apply one drop of motor oil between the flat washer and the nut.
Install the wheel nuts loosely.
CAUTION: Failure to tighten the wheel nuts in the sequence shown can result in high wheel and tire runout, which will speed up the development of brake roughness, shudder and vibration.
CAUTION: Torque specifications are for nut and bolt threads that are free of dirt and rust. Use only Ford-recommended replacement fasteners.
With the weight of the vehicle on the tires, tighten the wheel nuts to specification in the sequence shown.
The only thing I've ever heard that causes this is worn out lugs. After taking the wheels on and off several times, the threads start to wear down a little. The aftermarket wheels may be a little thicker than the factory wheels, so there are fewer threads holding them on. Over torquing your lugs also causes the lugs to wear down.
That being said, I keep mine nice and tight--just expecting to replace them a little more often.:hehe:
I know when I put after market wheels on my jeep I had to get different lug nuts. It had some american racing wheels and I switched to Mickey thompson's and had to get different ones because the ones that were holding my american racing wheels on wouldn't seat correctly.
Is there a wheel and tire shop by you that deals in custom wheels and tires they should be able to help you.
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