If you have metal caps on I would remove them now, if you can.
They tend to seize on due to a reaction between the alloy valve and the steel cap, you can ruin the sensors trying to get them off.
That's only an issue to the models that have tyre pressure sensors. I don't think any of the cars that we're discussing do, so it shouldn't be a problem.
I'm sure I saw somewhere some valves that came with a little locking nut - you just put it onto the valve first, hand-tightened the cap as usual, and then backed the nut up onto the cap tightly with pliers to lock everything in place. I expect it would be about as effective as the hex key caps, but less likely to go horribly wrong.
Though if my valve caps were going missing that often, then I think I'd just stop replacing them. I know they're supposed to keep the inside of the valve mechanism clean, but I've never personally known a tyre valve to start leaking just because it didn't have a dust cap on it.
I'd be worried about using thread lock or superglue, as you might damage the valve stem when attempting to remove the cap. The solid valves aren't that much better either - I know from experience just how easy it is to snap one of the Laguna ones.