It depends on what you would like to accomplish.

In my experience, if you hand sand the wheels and paint them, within 6 months or so the paint will be flaking off.

The paint will provide protection from the salt (if applicable in your area) however the rust will continue to erode the metal under the paint.

In order to make any rusted piece of metal last for a significant amount of time, you would need to sand/bead blast them first. 

You could then apply primer and paint, and I think that would yield the best and longest term results.

I completely agree with @autodiy if you want the wheels to look good and last. If you want a quick and painless paint job check out Rust-Oleum Rust Reformer.

They're just winter beater wheels for salty roads.

I would make sure the tire bead sealing surface is clean. Hit it with a wire wheel on grinder.

spray some black rust paint once a year and call it done.

I would not waste a lot of energy on them!

If you don't have tires on the rims, use a wire wheel or brush on an angle grinder to get down to bare metal again. The wheels are going to be getting pelted with road debris, water, curbs, salt, you name it. All of that will pretty much guarantee a thin spray-on Rust neutralizer like Rust Reformer won't last long. I'd wire brush them down to bare metal, use an etch primer to get a good, anchored base for paint, then use a filler primer if you want to smooth out pitting and scratches, then do a few top coats to put more layers between steel and moisture. One decent knick in the paint will start it all over again. 

It depends how good you want them to look. You can do a quickie clean-and-spray with tires on or you can do some surface prep and priming with tires off before painting.

I did this some years ago when I bought some used rims to upgrade my '71 Ambassador to 15" tires. Here's photos showing what was done, pretty much self-explanatory. (Photos are not the best quality since all I had at the time was a real cheapo digital camera.)

Basically I used some Naval Jelly rust dissolver plus a drill-powered wire brush, degreaser, and brillo pad to clean up, then primed the wheels, painted the backs black and the fronts silver. This was not a professional job. I just used rattle-can spray paint but I was happy with the results.