Most original equipment aluminum wheels are clear coated for corrosion resistance. You can generally use any type of wax or sealer specially formulated for alloy wheels, or any product that is designed for a base coat, clear coat finish.
CAUTION: Do not use any wax or polish that contains abrasives on a clear coated wheel (chrome polish, rubbing compound, ordinary wax designed for ordinary painted finishes or that "restores faded paint." The abrasives in such products will scratch and dull the clear coat on the wheels.
If your wheels are not clear coated, or the original coating is worn away or damaged, you can clean the wheels with "mag wheel polish" or fine steel wool to remove surface oxide and dirt (and what's left of the old finish) -- then repaint the wheels with a durable clear coat epoxy or paint designed for this purpose.
Unprotected aluminum wheels quickly corrode and pit when exposed to road salt and excessive moisture. If the corrosion continues unchecked for too long, the cosmetic damage may be too great to reverse. So if you don't want to drive around with ugly, pitted alloy wheels, use some type of coating (wax, sealer and/or paint) to protect them from the elements.
When an aluminum wheel is mounted against a steel brake drum or rotor, the different compositions of the two metals often lead to electrolytic corrosion. Aluminum is the more reactive of the two, so the wheel can corrode and "weld" itself to the rotor or drum making removal very difficult. To prevent this from happening, the face of the rotor or drum (or the back face of the alloy wheel) should be painted. Another alternative is to apply a light coat of lithium, silicone or synthetic brake grease to the back of the wheel where it butts up against the rotor or drum.
Another problem that sometimes plagues alloy wheels is porosity leaks. When an alloy wheel is cast, microscopic pores and voids may be left in the metal that allows air to slowly leak out of the tire. High pressure casting techniques have reduced, but not entirely eliminated, this problem. So some alloy wheels are painted or coated on the inside to help seal the metal. If you've experienced this kind of problem, and your wheels are not coated or painted inside, they might need it.