Don't know if this is the official "correct way" but it works for me on all kinds of cars... er, most anyways.
To get the old ones out, make sure they are clear of the hub and give them a few good bangs with a hammer until they pop out. To get the new ones in, I put a nut that is going to take up some space so the lugnut doesn't bottom out, then tighten slowly with an impact gun until the stud is almost fully pressed in. Finish once the wheel is on.