I use wax/polish on the wheels - I would never use high pressure on any automotive surface. You may get away with it a few times but it will damage the finish over time.
I would highly reccommend a steam cleaner. It's low pressure and the heat and steam just help lift it right off. I'm talking about the portable ones you use around the house. You can buy them at Walmart, Target, Bed Bath and Beyond, etc. These work fantastic on aluminum rims and brake dust. It's an old trick I have been using for a while combined with wax/polish.
The best polish I have found for the rims is Rejex. You could use Zaino too but I would rather save that for the body. Rejex provides a fantastic coating that allows water out of a hose to clean it off.
If you put a steam cleaner and use Rejex - it literally takes seconds to clean the wheels.
Keep in mind not all steam cleaners are created equal - some take a while before they are hot enough to use. Many have attachments too, but all you should really need is a long, flexible nozzle (nothing with a brush). Some are portable - some are plug in. Portables will last so long on a charge. Some hold more water than others. It's all a matter of preference.
Oh and also --- these are great for wheel wells and other hard to reach places.