Don't bother. It's not as if wheel covers are sealed in any way. They still have to let air (and thus water and salt spray and all that) through the wheel to cool the brakes after all.
If you're really worried you can take a fingertip of heavy grease and smear a thin coat on the lugs after cleaning and drying them. Even after the bulk of the grease has gone, there'll still be a thin veneer of grease on there to protect them. You could also spritz them with a can of Rustcheck oil or something...