Do you mean locking wheel studs themselves or the adapter key to remove them?
The key is stored in the tool tray in the right side of the boot, under the manual (on my e92 at any rate). Liftout the manual and the grey/black tray cover it should be in there.
If it isn't there then it can be requested from and dealer, you'll need you VIN for this.
You should expect to have locking wheel studs on a UK spec car unless the wheels have been changed from originals.