1) Does anyone know the pros and cons for each of them: Link Wheeling and Link Pyramid? 2) Which one is better?
Link Wheel is very suspicious and gets easily detected and penalized by Search Engines. Link Pyramid is relatively very difficult to build but if build properly with at least 4-5 tiers, it proves extremely beneficial over time. Even spamming and black hat techniques could be applied at the lower levels.
A link wheel involves creating several layers of web properties in between the site they intend to rank.This usually includes web 2.0 properties , blogs and social media sites etc. these properties are all created and linked to a specific page, which in turn links back to either another page or the site you are trying to rank . at one time this strategy was very effective and people took advantage for a long time . Link pyramids aim at creating link juice for intermediary and first tier links. it is also a way to prevent sanctions for the money site which is only directly connected with 'good quality' first tier backlinks.
Personally I would avoid any 'template' style link building these days! Focus on VERY high quality content, social engagement, social contests, and if you do need to 'build' links, then strike up social relationships with top industry bloggers, and try to get agreements to provide them with (VERY) high quality posts in exchange for not just a link to your website, but also a Google+ authorship link.