Depending on the quality of the chrome, you want to be careful how aggressive you go.
Not all polishes are meant for chrome (certainly not rubbing compounds) -- best to go with a chrome-specific polish to ensure longevity.
Always be careful of center caps which are sometimes chromed plastic and somewhat delicate.
There are two things you may consider adding to your wheel care regimen... a spray-on, hose-off product for brake dust and road grime from chrome surfaces, and then follow with a chrome polish. There are lots of brands out there, and I happen to like Mothers Chrome/Wire wheel cleaner, and their mild Chrome Polish -- it's mild enough for glass and will polish as well as protect.
Depending on the design of the wheel, and how often you like to polish, you might consider a PowerBall or PowerBall Mini which attaches to your cordless drill (you can use corded, but cordless is much handier).
Check out
http://www.detailguide.com and/or
http://www.waxforum.com if you'd like some additional info and input on those products.
Good luck!