Having them turned on a lathe would be the RIGHT way to do it. But ....

I did a set of steel wheels with a hand held jig saw. <img src="/forums/images/graemlins/zombie.gif" alt="" />

Note that it is nice, but not critical, to have the center hole round or perfectly centered. If you ask, good tire shops can do a "lug-centric" balance when you need the tires balanced. That is, they use a collar on the balancer that locates off the lug holes instead of off the center hole (I had this done twice with no problem).

A jig saw probably won't work so well on the thicker center of an aluminum wheel. But, you could probably make a plug (wood, plastic, metal?) that fits tightly in the center hole. Then, assuming you can find the right size, you could use a hole saw to cut a larger hole. (the plug is needed so there is something to guide the center drill of the hole saw).