It works if done right. The original version of linkwheeling definitely doesn't work anymore. It really is an enormous footprint. But more creative versions of linkwheeling can still work really well.
Instead of having your pages all link to one another, you need to have a good amount of external links as well. Link to sites like Wikipedia, as well as real resources in your industry. Your sites shouldn't all link to one another. To Google, it should look like a random assortment of sites, all of whom are linking to other resources, and none of the resources should seem too close together.
For an extra layer of safety, you can link to a Web 2.0 property from about 60% of your sites. Then link to your money site from that Web 2.0 property. Again, that Web 2.0 property should link to maybe 5 different resources, so it's impossible for Google to tell that your money site is profiting from that property.
Do you "lose" a lot of link juice when you're being this careful? Yes - But it's much better than the original linkwheel, which "preserves" your link juice while painting an easy target on your back for Google to hit.