Here is some detail I found from the "Wheel Professor" (very informative website BTW) about lug nut thread engagement. The SAE recommendation is to make sure you have at least the diameter of the wheel stud worth of thread engagement. In my case I use 1/2"-20 wheel studs. So the minimum thread engagement on the lug nut is to be 1/2" or about 10 complete turns/threads on the nut. Of course it will depend on the Mounting Pad thickness for the wheel you are using. In my case with the OEM Granada disc studs I have between 5-6 turns worth of engagement onto my Team Three Wheels which means the lug nuts don't have the adequate 10 turns and the lug nuts will tend to loosen over time
. This is not on issue on my rear wheels since the 9" ford axles have longer studs and offer more than 10 turns of lug nut engagement.
Before hitting the road, make sure to check thread engagement when selecting the wheels and lug nuts and fitting them to rotors with OEM stud lengths. Chart attached is from the Wheel Professor's tech section on his website. Hope this info helps others.