What I do is i wax my wheels with either Autoglym HD wax which is amazing but very expensive, but on my previous car i just used turtlewax. What i did before this was use some autoglym alloy wheel seal then put on the wax. Although i have found that this attracts the dirt and it seems to stick more, it will just hose straight off, so i do this after every long journey and it all comes straight off, if it does not, when you wash the car just use a sponge or something after to wipe it off.