Kleen Wheels does work. It installs over your brake rotors (but behind your rims). It catches all the brake dust and dirt that your brakes spit out onto the rims, thus keeping your rims nice and shiny. The downside is that the Kleen Wheels look ugly and completely hide your beautiful BMW brakes. Personally, I get tons of brake dust on my wheels as well, but I would never get those Kleen wheels as I love the look of my massive rotors and orange Brembo brake calipers. What I do is, I buy a bottle of the Black Magic Wheel Wipes (from your local KMart) and I wipe down each wheel with one or two wipes and then clean the remaining residue with a towel. It takes about 15 minutes and my rims come out clean and shiny, so I don't mind.
If you want to go to a more extreme level, you can buy a set of Hawk HPS brake pads. They will significantly reduce the amount of brake dust and dirt spit out onto your wheels; I only hear good things regarding these brake pads.