I have chrome steel wheels on my Super Duty and I have the same problem as you do. First you need determine if they are clear coated, honest to God polished aluminum, or chrome plated because it will make a difference in the steps used to get them looking shiny again. You can determine if the are clear coated or Polished/Plated by fist washing the wheels, then take a MF towel and some polish and test a small spot probably 1"x1". If the rag is clean after working the polish in they are Clear Coated/Plated and if the rag turns black they are aluminum.
If they are clear coated, wash them with soap and water, spray them with a clear coat friendly wheel cleaner, then use a soft wheel brush to agitate and rinse well with clean water. Now, what I do is I apply Meg's NXT 2.0 and it seems to help slow down and even repel some of the brake dust.
If they are plated or polished you can use the same steps on each but the polishes will be different. Wash the wheels with soapy water, then use a wheel cleaner that is appropriate for the wheels with a soft wheel brush, if you purchased them locally I would ask what the shop recommends. Then I would use a good quality chrome or aluminum polish (The sponsors of this forum have what you need) with a grunge MF (Micro Fiber) towel. Next I would use a good wheel sealant or Meg's NXT 2.0 to help them stay clean between washing's.
My only warning is if they are chrome plated. Use caution if you use something like a Mothers Power Ball because depending on the wheel manufacturer the plating can be thin and easily damaged. Also if you decide to use a wax on your wheels make sure it is a synthetic because regular Carnauba car wax will not stand up to the heat of the brakes.