Wheels can use any size or shape collision, but for best results (especially for high speed vehicles) you will want to use a simple sphere collision. Cylinder collisions are currently not possible in PhysX, and a convex Cylinder will cause wheels to bounce at high speeds.
Skeletal Mesh Collisions (When attached)
Skeletal Meshes attached to the VehicleMesh will by default will have their collisions turned off. This is because most often they are just cosmetic and turning collisions off improves performance. If you need your mesh to retain its collision settings then you can add the tag "KeepCollision".
Skeletal Mesh Constraints
If you are using a Skeletal Mesh for your vehicle chassis its possible you may want to setup some constraints. However, any constraint that you would normally set to the root of the mesh will instead need to be placed within the vehicle blueprint, and tied to the VehicleMesh component. Setting up skeletal mesh constraints the normal way will result in odd behavior, similar to the following: