Get wheels with holes that match the spacing on the servo horns. Generally I use small wood screws but you can drill and tap the horns for machine screws.
Get wheels with the servo spline builtin nd secure with a single screw thru the servo shaft.
Get a round servo horn and use double sided tape to glue the horn to the wheel.
Get metal servo horns with threaded mounting holes.
If you do get different servo horns make sure you get the correct number of splines!
I have zero experience attaching wheels, but at this point I have an enormous amount of experience in attaching other things to servos.
In the US, small screws are hard to find. Some hobby stores (that have RC parts) and a good Ace Hardware or a Do It Best Hardware have some of the smaller sizes. Home Depot and Lowes stop at #4. You would need a #2 to go through most of the plastic servo horns (+1 if you have the round ggallant talks of) after you drill them out. Easier to find is metric machine screws, 2MM x 19MM are fairly easy, longer is harder. The RC stuff is largely SAE (society of automotive engineers and not metric) and #2 and #4, mostly #4. Microcenter may have collections of small metric hardware. Cheap metal servo hubs (note the spline count as there are both 24 and 25 splines) can be found on Ebay (I think they take 3MM).