I know this is an old thread, but I will post here anyway. I stumbled across this when I hit the next unread button. I read all the posts, and one question came to mind:
All these people own a scroll saw, and no one suggested cutting the wheels out with a scroll saw. I made toys for years before this occurred to me. I have a set of patterns for wheels. The patterns are pages full of the appropriate wheel-size circles with their centers marked for drilling the axle holes. I cut them a little over the size to allow some wood for smoothing and truing the wheels. No, I can't cut perfect circles, but I can cut 100 wheels and sad them all perfectly round, smooth, and the same size. When using a scroll saw to cut wheels, I get a few more wheels out of each piece of wood, and it is not nearly as messy as a hole saw. I made them with hole saws for years, owning every hole size between 1 and 3 inches.