Wow, I've got my A6 for only a few days and the wheel covers are already practically black from brake dust.

Can you recommend a good cleaner?

and wipe with a rag. Works like a charm.

Whatever you use on your paint is suitable for the wheels, however because of the heat the wheel is exposed to, you'll need to apply the wax more frequently to the wheels than you do the paint.

Wheel cleaners clean brake dust, and they usually remove any wax on the rims as well. The wax helps prevent brake dust from sticking to your rims when you wash, so you want to retain that wax. Once you've waxed your rims, simple cleanings with soap and water are all that is needed.

Factory pads do emit a lot of dust, so if you want to clean your rims between car washes, follow Ted's suggestion. It's also good to spray down the wheels with detailing spray after a car wash. It helps extend the life of the wax, and makes it even harder for brake dust to "bond" to the rim.