I've never waxed wheels myself, but I can see how it might help with cleaning. After going about a month without cleaning my smart, the front wheels look like they're charcoal gray with all the brake dust on them. But whenever I've washed it, I just spray them down with some wheel cleaner first while I'm washing the rest of the car and when I get to the wheels/tires, it really doesn't take much effort to get them looking new.
As for the wax, I don't see any reason why you couldn't use it.......
