All links work if you do them right. You can't just do one type of link building it's important to use different linking methods and at different times.. so for example: New Site > bookmarks > home page links > blog posts > linkwheels > blog comments etc etc It's important to stagger the link building process so you don't flag the site because you hit it with to many links at once. But for the original question, linkwheels are still working and are useful if you use them right.
Basically link wheel uses the power of multiplication to build links to your websites. It tries to build links naturally which is liked by all search engines. Link wheel tries to get links from related niches on the internet. Also it multiplies these links over a certain period of time and thus is a proven technique of link building.
Link wheel really most effective. It help to to get the links from niche sites which are very useful and proves to be a quality link.
Always be sure to use an Open Link Wheel. An Open Link wheel will avoid you being penalized by Search Engines. I always implement Open Link wheels with clients. A Link wheel definitely makes a different.