I "used to" hang them on the back of my craft room door using removeable 3M hangers (so as to not damage the door).
I say "used to" because I eventually ran out of room and needed to come up with another solution.
So I started stripping the rubber off the plastic wheel - writing the name of the wheel in sharpie on the back!
2/24/10 Edited to add: I use an exacto knife to cut the seam on the wheel and then peel the rubber off the spool. I throw the spools in my recycling bin!
Now I store them ALL in just 1 Martha Stewart CD Storage box (and there is plenty of room for more wheels).