In 3DXchange you will have to separate the wheels from the rest of the car and import them separately into iClone. Likewise for any other parts you want to animate.To help you with the wheels there is this free bonus: iCar Body Shop - Mechanic Tool Kit. Go to your RL account page and look under iClone.
There is a tutorial how to use it here: http://www.reallusion.com/ContentStore/iClone/pack/iCar_BodyShop/Help_Assemble.aspx.