You could go about this a couple different ways.
The first would be my personal choice, sand the wheels down, starting with 320 grit on the rough spots, followed by 500 grit, 1000.... working your way up to 1500 or 2000 grit, depending on the final polish you use. You can get a number of different polishes, check Lowes, they have polishing wheels you can put on a 4.5 inch angle grinder, and the polishing compound to go with it. This is going to be a tedious and messy job, but the end result should look like a million bucks if you take your time.
At this point you have a couple other options. You can either clean the wheels with some wax and grease remover and clearcoat them, or just keep up on polishing them every couple weeks. If you keep up on polishing them, it should just take a little time with some wheel cleaner and a rag to keep them looking good. If you clearcoat them, you can just wash them and be done.
If you want to paint them, aluminum will be just like painting steel rims, proper prep is the key. Start by sanding out pits with 320 grit, some may take a little more agressive sandpaper, aluminum is soft, so it shouldn't take much to sand out the imperfections. Final sand them with 500 grit, and clean them with some wax and grease remover. You will want to use an adhesion promoter, Bulldog is a good brand, and you can get it at walmart in a purple can with a bulldog on the front. Spray a light coat of this on and let it dry aproximately 15 minutes, then spray your paint on, and let dry.