Here's one technique that makes cleaning your rims quite easy.
* Give them a good clean with regular elbow grease and a sponge.
* Cover the entire rim in supercheap tyre shine spray ($2 can). This will leave a slightly greasy film over the wheels.
* When it comes to cleaning them, grab a can of degreaser from supercheap ($2) and give the wheels a quick spray. The degreaser will remove all the tyre shine spray thats been collecting the dust and leave your wheels looking clean again.
* Make sure you wash all the degreaser off with a lot of water, then re-apply the tyre shine and start all over again.
I've used this technique on painted/shadow chrome wheels and haven't had any issues, not sure if the degreaser would damage chrome wheels though...