It is better to move them with bones or vertex animation than using 4 additional entities for the wheels, if you need a lot of entities, and a strategic game mostly need a lot of entities.

http://www.puppenheim.org/
http://www.wuerfels-welt.de
Old Game Tutorial: http://www.puppenheim.org/MITutorial.zip
Free Game Editor: http://puppenheim.org/AlienalsWeihnachtsmann.zip
http://www.puppenheim.org/blender_starting_main_settings.txt