+1 on ArmorAll protectant. It absolutely improves the situation. It's not expensive. I usually pay about $7 a can, which lasts 2 applications to all four wheels.
I just tried the Sonax. It is incredible. It removed caked on brake dust that, in the past, I had tried like heck to get off with a variety of cleaners, brushes and arduous work. I'm sure I did some damage to the clear coat along the way. I'm trading my car in a couple weeks, and I plan to use Sonax on my new ride. I also saw something online called Iron-X, which seems to operate along a similar principle, dissolving the brake dust.
I'm convinced the best bang for my buck, to keep my wheels looking good, will be to clean with Sonax, blow dry with the vacuum and apply two or more coats of Armor All.