I clayed the car today and decided what the hell, so I broke off a small piece and clayed my chrome rims too. WOW!! All the deeply embedded brake dust & discoloration came off.
I've got a Chevrolet Suburban with alloy wheels, and the clay is great for removing surface imperfections as well. Just be sure to toss out the clay after doing all four wheels. You'll have picked up so much brake dust you wouldn't want to clay anything else with it.
I tried the clay on some chrome bumpers and some alum. wheels yesterday. I give it the thumbs up. It really cleans the surface for a good shine.
And yes, I totally agree - toss that used clay after doing the wheels.