Wheels do affect a dyno pull, the heavier they are the more your engine will have to work to get them spinning.
Rule of thumb I've heard for the 1/4 mile:
100 lbs of sprung weight = .1s (anything riding on top of the suspension)
10 lbs of unsprung weight = .1s (wheels)
While the sprung weight of the car is taken out of play at the dyno, the unsprung weight is still a factor.
