Any synthetic/polymer sealer should do the trick. I use Klasse All-In-One on our cars' wheels, occasionally topping with a coat of Klasse Sealant Glaze. It's one of the most hearty, longest lasting, and highest shine sealants available--imported straight from Germany.
There's also a wheel specific wax intended to combat just what you described--excess brake dust build up--while covering the wheels with a slick and long-lasting seal. It's called Wheel Wax. I've never used it because I've had such great results from Klasse (which I also use on the paint), but others seem to like it.
On the other hand, one thing you DON'T want to use on wheels is your typical full/partial carnauba wax, as it will simply melt and break down quickly with the heat from the wheels.