The only "perfect" shapes in Phun are rectangles (boxes) and circles. All the other shapes have small little edges. If they hadn't I doubt that Phun could run smoothly because of the amount of collision calculations going on. Do what Christianol suggested and look at some of the great bikes and cars here on Algobox to see how it's done.
Make a circle and glue every part of your wheel to it. Make the circle invisible. Then make sure that very part except for the circle has no collision group. The circle is basically your wheel. The visible parts are just for the looks.