I would recommend wet sasnding with a drop of dishwashing liquid in the water simply because it will be easier on you and deliver a good end result.
If you sand any anodized surface you will destroy the anodizing. Anodizing only accounts for between .001" and .0015" of the surface. If the item is hard anodized that number can be as high as .003", but even then you will easily sand through. By the way, if someone tells you that a particular piece of aluminum is hard anodized and it's any color other than black or dark (dark) green, they are incorrect. Hard anodizing created pores in the substrate (aluminum) that is too small to accept colors (dyes).
Once you have polished the surface and gotten the shine that you want, finish it up with a good wax. DP wheel glaze is very good as would be any good hard Carnauba. I wouldn't use a soft wax or a liquid wax on a wheel, although some might disagree. I feel that a hard paste wax is the best protection for wheels.