I've got that fecking turtle wax stuff all over my rims and can't shift it !!! grrrrr
Tyres are still shinny though ! 
degreaser (aka Fairy washing up liquid) will shift it, then wax your wheels and the brake dust will simply fall off 
I waxed my wheels with a hard wax made by turtle wax, it comes in a flat round tin, got it in halfords.
It's really good stuff, brake dust etc just washes off and they look great with just a hose washing.