If the center bore is correct (70.3mm was what the factory wheels had), then any "slop" at the lug will just be the wheel turning on the hub slightly. That shouldn't matter, and once the lug nuts are fully tightened, there won't be any play. If that's the situation, I'd go with the lugs you have, or the ones I posted. Note that some S10s have 70.5mm hubs, and need a slightly larger center bore on one axle.
If the center bore is larger than 70.3mm (aftermarket wheels are typically over 75mm center bores so they fit more cars, some are over 100mm), then you really should install nylon or aluminum hub centering rings that fit the center bore of the wheels exactly and match your S10 hubs exactly (70.3mm and/or 70.5mm). With the proper centering rings, the "slop" at the lug holes will not matter either.
I would never run mag style lugs and expect them to center the wheel properly That's just asking for trouble. If you're going to try that, get the ones that are as snug as possible in the lug hole bores. Truthfully, to be "snug enough" to properly center the wheel, there's going to be a friction issue with tightening them properly, and that will cause other more serious problems, so I'd really try to get to a truly hub centric setup (with whatever adapters you need to get to that point).