Stock rims and lug nuts?
Are you torquing them down?
What are you torquing them down to?
Are you using the star pattern when tightening? (instead of a circular motion when tightening)
Any anti-seize or other penetrant on the lugs and studs?
Are you using a long extension on the socket end?
When does it happen? When removing the lugs or putting it on?
Why it's happening can be due to many things.
Improper torque values.
Improper lugs for the rims.
Lack of hub centric ring on aftermarket rims.
Improper torque down patterns.
Road salt corrosions.
Vandalism.
Could be anything, really.