Clean them once and keep them clean so it doesn't build up.
Depending on the rim composition, Meguiar's All purpose cleaner would work well with some aggravation, Eagle 1 a2z wheel cleaner as well [a good OTC cleaner].
P21S [ http://www.p21s.com/products/bis_wc1.html
] Is PH neutral so it won't ruin forged or sensitive wheels.
Also, depending on the finish, you can wax the wheels and seal them. Very easy to keep clean thereafter. If not, a metal polish may be in order.
Whatever you choose, get them clean with a cleaner that won't hurt your rims, and protect them. Future cleaning will then be easy and brake dust should come off much easier too.