If you don't allow it to get too bad, mix up a solution of dishwashing liquid and water...maybe about 1 part dishwashing liquid to 5 parts water...and spray it on the wheels. Then, use a soft bristle brush with long bristles and scrub, making sure to get into all the crevices. Then, rinse thoroughly.
I have found that dishwashing liquid is very effective and very economical for removing brake dust.
If you have allowed the brake dust to become too thick, you'll need to use dishwashing liquid and a MILDLY abrasive scrubber like you would use for teflon pans...something from the kitchen aisle at the grocery store.
Either way...dishwashing liquid is all you need.
Turtle Wax makes a foaming, spray-on wheel cleaner that is pretty inexpensive at Wally World - like $3.95 for 22 Oz IIRC . . . just got some, so can't say as to how well it works.
Previously I used the remains of the wash soap that I used on the rest of the car. That and a fuzzy mitt seems to do pretty well. . . and don't let it build up~!