It all depends on what material the wheels are made of, how they are coated, and how serious you want to get with them. I work on wheels almost every day. If I had a dollar for every time I hear someone say that their wheels have rust, which is actually brake dust... (not saying yours don't!)
If they have a coating (clear or paint), You can sand it off. I would wet sand them if I were you because the removal is easier to control and also washes away debris. Use 400 to 600 if you want to re clear em and 1000 grit if you want to try and buff them out. Just be careful. If you break through clear to paint or through paint, you'll be reshooting. If raw steel, you can steel wool em'. But it WILL be back. You can also put a protectant on raw wheels (raw alum or raw steel) and will give you more time. One last thing, if they are raw aluminum, remove with 1000 grit and buff!