There are a number of cleaners that you can use, depending on the state of them.
When I used to show my cars and have them in mags, the method I always used was.....
1: Use Wonder Wheels cleaner. It comes in a clear white bottle and you use a crush and cap to apply it. Don't do it on warm alloys as it will dry too quickly. It contains Sulphuric acid to break down brake dust and works a treat. Give the wheels a light brushing or a heavy one depending on the level of dust an how much it is caked on.
2: Have a bucket of warm soapy water ready and be prepared to rinse off each wheel no more than 4 - 5 minutes after you have applied it. (Less if it is v warm).
3: Rinse off your wheels and dry them using a chamois, make sure you get into the wheel nut wells as any moisture on them will ruin the next step.
4: Apply some AutoGlym Super Resin Polish. Most wheels have some sort of laquer on them which will benefit from this.
5: Leave this a couple of minutes for each wheel but don't let it dry in warm weather. Buff off the polish and admire the shine!
6: Tyres should be dressed with something that doesn't run as it will go all over your wheels. AutoGlym do a rubber cleaner and also a tyre polish but spray the polish onto a cloth and apply it that way or it will get on your alloys.
Hope this helps,
Enjoy.