Many people will tell you alu nuts are OK, personally I would only ever use steel. My 9 came with alu nuts and the thread on a few was in quite a shocking state. I replaced them with steel nuts and never looked back. If you are like me and use torque wrench every time you fit the wheels then you might be just all right with alu nuts, but I feel a bit safer with my nuts of steel!
I have aluminium ones. Weigh like nothing in my hand. And that's all 16! Didn't have any problems so far, but I would avoid using the pneumatic gun on them. Power bar only.
having used several sets of aluminium and steel nuts in the past, id never use aluminium nuts again. Soft as butter and if you have your wheels off often the nuts or your studs will get ruined...
I had my Rays wheel nuts on my car up until the MSA stopped me using them in competition.
They never let me down in 7 years. They were still in great condition, apart from anodize wear.
Just don't be ham fisted like most folk when fitting them and keep them greased.
If thats what people do with Alu nuts then more fool them. Aluminium and steel dont go well together.
I used a smear of copper slip every time, and have never had any issues that has been mentioned above, wheels falling off ruining threads etc.