I have wheel bags from performance bicycle - they work fine. I only use them for local races as I don't want to leave my race wheels on top of the car. When I fly, I only take the race wheels and put them in the case with the bike. I've only flown to two races, but it worked fine both times - the case was whatever I could rent.
I don't think carry on would even be an option. Size, coupled with the number of potentially dangerous parts in a wheel would probably raise flags of even the dullest TSA agent. Though you could fly out of Edmonton, AB if you wanted a workaround.
So, that leaves you with checking a wheelbag. I've never done this myself - I've always travelled with the whole bike in a soft case - but I would guess that a padded bag would be ok. But a hardshell would definitely be preferable.
I bag my wheels then throw them into my hard or soft case. I only use the hard case when I have the luxury of an extra large SUV. The case is massive, but it holds tons of gear and is very well protected. I've used inexpensive nashbar wheel bags with great success. I also have more padded bags that came with my hard case. More padding is certainly more protection, but I've never had any damage with nashbar bags. Like Dave says, it all gets checked with my bike.
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So, that leaves you with checking a wheelbag. I've never done this myself - I've always travelled with the whole bike in a soft case - but I would guess that a padded bag would be ok. But a hardshell would definitely be preferable.