Hi Mark, welcome to the site, you'll find lots of help here.
When I add Pegasus wheels to my cars, I use a piece of rod or tube (plastic, aluminium or brass) that fits snugly inside the wheel mount (about 2mm).
Remove the wheel mounting boss from the axle, drill a 2mm hole and then glue in a short piece of the aforementioned rod. When dry, slip the wheel over the rod and glue in place.
No doubt others will chime in with other suggestions for other wheels.
Oh, there's also a section on the home page for how-to's, tips and questions - there may be more solutions there.