Weights should be placed on the inside for magnesium and aluminum wheels. You can't actually get a true balance with lip mounted weights. Any tire place worth anything will know this.
Generally, tire places will only use the lip weights on stock steel rims on low performance vehicles.
There's been a lot of discussion on wheel vibration. This is not a unique problem with the CTS but it is probably going to be a recurring one because the car rides so smooth and it's very noticeable when it happens.
Here's some links if you want to read more from other sources:
http://www.clubcobra.com/t37899.html
This one is interesting, it actually talks about the use of a locking nut being enough imbalance to cause vibration:
http://www.miata.net/garage/65_mph.html
One from Hunter:
http://128.242.141.111/pub/features/intro.cfm