There is only one accepted way to protect magnesium wheels and that requires a pickling process using DOW products, there are two processes one provides a gold finish and the other a black finish. The gold finish was typically used on Halibrand magnesium wheels and the black finish was used by American Racing, both finishes are considered a primer for whatever you are going to apply to the wheels afterword (painting). Something to remember, even though you are protecting all the exterior surfaces there are surfaces that you can not get to to reapply whatever external oils etc you are applying. A good example is the area between the wheel beads that are covered by the tire, unless you remove the tires.
That being said there is nobody that is more versed in magnesium wheels than hot rodders, here is an article written by them.....
Gibbs Brand penetrant