Will these work with my deeper-dish wheels?

Yes — the L40 extended length is designed specifically for wheels with deeper recesses or when running wider offsets. Standard-length nuts won't seat properly in those applications; these will.

Do I need to replace all my lug nuts or just the ones that don't fit?

Replace the full set. Mixing extended and standard nuts on the same vehicle creates uneven clamping load and can affect wheel security. Twenty pieces gives you a complete set for most vehicles.

Will aluminum nuts hold up as well as steel?

Aluminum is softer than steel and will thread slightly easier, which can be an advantage with custom wheels. For daily driving, they're reliable. If you autocross or track regularly, steel is the safer choice for repeat cycles.