As slicer noted, making the wheel/tire combo into a packing sandwich is generally the way to go.
If it is just wheels alone, it may be wise to double-box them.
UPS is often most efficient over shorter distances (1 state away or so). FedEx often best if going far. UPS owns way more trucks, FedEx owns way more planes.
If you have an account set up with one of the freight carriers, you often get a discount with them. Worth looking into if you sell things online with any frequency.
If the wheels are worth the trouble to sell and ship, it's probably worth it to pay for insurance. Saves much hassle and anger if there is shipping damage.
I have accepted a new position at Tire Rack and am no longer in the sales department. email@example.com
is available to assist with M3 questions.