From what I understand, they have to be introduced to the wheel at a very early age, and then its usually the females that like to run. The only rats I have had use the wheel are Pansy and Petunia. They spent the first 8 months or so of their lives in a 10 gallon tank with just a hamster wheel and a water bottle before I rescued them.
My other three girls came from a reputable breeder and had toys to play with, but no wheel until about 3 months of age when I put them in with my other 2 girls, who had a wodent wheel. They played on it at first, but once the novelty wore off and they were done figuring it out, they got bored with it. I wish they'd use it more because it seems like its good exercise for them.