i wax my wheels about every 3 months. it works great and makes clean up much easier. i also wax the exhaust tip and it makes soot removal MUCH easier.
ive never used a specific wheel wax, your standard caranuba "cleaner" paste wax, i think meguires is what ive been using.
takes a little bit of elbow grease and jammed fingers to get into the nooks and crannies but it always makes them look purdy