Personally I tend to make my own. Not as difficult as you may imagine unless you want real "scale model" type wheels. I use a hole saw and scroll saw but there are plenty of other ways.
I suggest you visit a US Toymakers Forum which details a number of different methods (and suppliers, but mainly US, as you'd expect). Whatever/whichever, I've found wheels to often be the most expensive part of a toy project, but there are exceptions (e.g. In my local DIY establishment I found some cheap turned beech furniture/floor protectors which I modded into quite acceptable wheels for one particular project).
As you say, there are UK suppliers, Hobbies amongst others, but as you also say, they are all pretty expensive.
Link to Toymaking Forum:
http://www.toymakingplans.com/index.php
As said, there's a Forum there with all sorts of interesting stuff (click "Forum" on the header page), and they also sell a wide range of their own plans under various sub-divisions (e.g. outdoor, trucks n cars, etc, etc).
HTH