If you wash them regularly, all you would need is the regular car wash soap that you use on your car. Every now and then if you have some built up dirt, try Eagle On wheel cleaner which can be found at any car store, or even Walmart, Target, Etc.

If you use a synthetic Wax/Polish/Sealant like Klasse, Finish First, Zaino, 1Z, Meguairs new NXT wax, etc, etc, then by all means after cleaning your rims up, put a coat on. It will make future cleaning much easier. If you use regualr carnauba waxes, dont bother, they'll break down due to heat too quickly to give you any benefit.