It depends on what the wheels are coated with now. Are they painted or powder coated? Powder coating is very difficult to get off. I like to use a scotchbright pad to scuff the surface you are painting, then I use rustoleum primer and high-temp spray paint. It holds up pretty well and is easy to touch up if needed later. Just make sure you scuff everywhere you want paint to stick and then clean/wash them really well before painting them to make sure you have a clean, dry surface...
Unless they are in really rough shape, you really don't have to worry about stripping them to bare metal. Just scuff the finish that's on them and the paint will stick just fine.