All above was good advice, EastRando. My wheels do have the long nut as yours did originally. Cheers, RagJag

 

Ok, I checked the length of the exposed hub threads and the depth of the replacement lug nuts with a dial gauge. The nuts are fine.

 

A very stupid question -This caps over the nuts thing is very confusing. On my '94 XJS they're quite loose, and the original tire iron / wrench doesn't properly fit over them. Am I missing a tool meant to remove the caps first, or do they crack with enough pressure, then I have to use a smaller tire iron socket to get the actual nuts off? I'm a bit confused about this system and don't want to damage anything. It's ridiculous that I have to ask post in a forum to get my wheels off, but I've genuinely never seen such a bizarre system, and I don't know whether I'm missing a tool. Also, it's interesting that there's nothing about wheel removal in the manual...

 

jpind, it sounds like you're having the same problem I was having. The caps are probably so loose that you can't get the correct size wrench/iron on them.
The procedure I described worked for me - basically, I took the correct size impact socket (22 mm for me, but double check your size) and hammered it onto each nut, then used a breaker bar to loosen them. I replaced every nut with a new one so that I wouldn't have the same problem again.

 

I bought a new tire wrench. Probably from eBay or Amazon.

Less than $10. Forgot what size it is.

I was just happy I found that out before I was stuck on the side of the road.