I always do. I have DP Wheel Glaze. This stuff shines real good. Make sure the wheel is cool. It can be a little hard to remove if the wheel is hot. Apply in the shade for best results.
I apply two layers of DP Wheel Glaze. After cleaning, apply the first thin layer, let dry and buff. Apply the second thin layer right behind the first, let dry and buff.
My wheels are super slick and almost rinse clean at wash time. Very little scrubbing is needed after the glaze cures.