Wheels is something you use when packaging your module for upload. You will automatically use a wheel package if the module you are downloading was uploaded using wheels and your pc config is compatible with the wheel package.

What wheels does is it pre builds the module for a given system (doesn't need to be a very specific system) so that you don't have to do it locally when installing (if you got a compatible config).

It's not something users have to think about, for them wheel package == smaller and faster install. Pip will by default prioritise wheel package over source.