I understand your problem, it can be really hard to get them back in the cage! I usually use a couple of techniques... I will either wait until one of them jumps onto my lap and quickly scoop them up before they know what's happening, tempt them over to me with a treat and pick them up whilst they're distracted, or if that fails I will corner them and pick them up that way. It sounds a bit mean to force them into a corner but honestly, sometimes I find there is really no other way of getting them back. Also I don't believe my chins are scared when I do this, I think it's more that they are reluctant to be picked up than actually scared of me, so I don't feel guilty about it.
If you have playtime in the same room that the cage is in, you could always just wait for him to go back on his own. When he goes in just shut the door. That's what I used to do but it became impractical to have playtime in the same room as the cage, so now I have to catch them. If you have a smaller travel cage you could put that in the play area and wait for him to go in there, then close it and carry him back to his cage in it.
Also, getting him generally used to being handled daily might make him less apprehensive of being picked up over time. Mine don't run away *quite* as frantically as they did when I first got them =P
Re: wheels, my boys have one in the cage, the younger one uses it but the other does not really show an interest, so no, not all chins do use wheels.