Look at the Detailing Forum. That's where you'll find lots of posts on the topic.

Myself, I use Michelin non-acidic spray wheel cleaner, but there are lots of good brands on the market (of course, the BMW wheel cleaner is excellent).

If you use wheel wax periodically, it will protect the wheels and make them much easier to clean in the future. You will find the amount of brake dust that collects on the wheels will be a fraction of what it was previously. There are good threads in the Detailing Forum that talk about wheel wax.