Sure, they torque them on when you get your new tires installed or rotate your tires. You would be surprised though how many people don't pay all that much attention to how secure their lugnuts are on the stud after that. Being that checking them is part of a daily pre-trip inspection, you would think more drivers would be apt to do so! A visual check at the very least can reveal some signs of a problem, but physically taking the time to make sure each one is not loose is the right thing to do.
During visual walk-around inspections, it is important to look for signs like streaming rust marks shooting from your nuts to the outside of the wheel. This can be a telltale sign that one is loose. Short of grabbing onto each and every one on each wheel, frequent visual inspections can keep you from being that driver that has a wheel come loose on the open road. I have seen first-hand what a runaway tire can do to the windshield of an oncoming car and the results are not very pretty! The one I actually saw the aftermath of did not turn out well for the four wheeler, as the truck’s wheel and tire came through the front windshield of the car at the driver and fatally injured them.
I have seen some great devices at truck shows and online that can be installed to help alert a driver of a loose lugnut situation, like this model from realwheels.com. All of the refuse trucks that service our area have neon green arrows like this that mount to the on the wheel's lugnut and point in the same 
direction as each other. If one of these arrows is out of alignment it means that this wheel has a loose nut. Taking that concept of wheel safety to heart, but being the kind of person that likes to figure things out myself, I took a queue from container chassis' that I pull around all day. I noticed during inspecting that each one has a 
line painted on each lugnut and stud after it is torqued on. If the paint is misaligned after a pre-trip, this means it is loose. You can use a waterproof paint pen to mark the line, or nail polish even works if you happen to have some of that handy instead.
These very small pieces of our daily pre-trip are far more important than many give them credit for. They hold on tight to assure that your wheels keep on rolling safely under immense weight and pressure. All it takes is one loose nut to cause enough vibration to start to loosen the others. If that happens, you could find yourself unknowingly being the cause of a tragic accident on the highway. If you aren't checking them daily, start a good habit now and be sure to give them the attention they deserve!