How do we connect it to the axle? Is there a good tutorial on LEGO wheels somewhere I can read?
The "wheels" are really the hubs, mostly from the various Speed Champions cars among others.
The inside of the wheel takes a standard stud, so you should be able to use:
- Plate Modified 2x2 with Pin Hole
- Technic Pin 1/2
- Wheel Cover 5 Spoke
Beyond the primary question of how to build these particular wheels, there are a few common themes among wheels and axles across the system (there are clearly more than those shown here, but these cover most of the typical "official" connections you'll come across at the moment):