You need to torque them down properly. I would phone up the Costco and ask if they have a torque wrench available - most shops either don't torque at all or use torque sticks. My experience with torque sticks have not been good - my torque wrench clicked at 98 ft-lbs even though I asked the shop to use 80 ft-lb sticks (and they did, but the sticks overtorqued it). The reason I asked them to undertorque was so that I could see if these torque sticks worked well, and it seems as if they don't.
You also need to torque the wheels while off the ground to allow the wheel nuts to properly centre the wheel, or else you will get vibrations on the highway and sometimes a clunking noise while doing a slow stop or turn.