Ok, I figured it out, and wheels are really simple, although tricky to draw.

You draw a circle (starting at 9:00 or 3:00 works best for me) and then when you come back to your starting point, draw a straight line inwards to the centre of the circle. Note: The wheel has to be a single stroke. Do not lift the stylus until you reach the centre of the circle. It's ok if you overshoot the centre a bit. Once you get there, lift the stylus.

EDIT: I found that drawing from the centre of the circle can be easier. Your wheel should look like a bit like a lower-case "e". Don't go too far, though, if your "spoke" sticks out of the circle, it will jam the wheel's rotation.

You add a strut (or "forks" if you were drawing a bike) by starting at the centre of the circle and drawing outwards.

I was able to draw a delightful little bike-thing by drawing two wheels and joining them with an upside-down U shape. The bike rolled down the ramp fairly well.

I still would love a record-and-replay function. I'll have to make a bike as a new level just to make it clear; it's very hard to just describe in words.

Next, someone has to make a working ferris-wheel or water-wheel contraption that spins when you drop stuff on it.

EDIT: I also really want a way to copy and drag objects around, at least in level-editing mode. That way, once I get a working wheel-object, I don't have to keep re-inventing it each time. I can just copy the working one and move the copy.