I use a damp microfibre towel only most of the time. It lifts dust and dries within a few seconds. When I do my monthly detail I use Meguiars Quik Interior Detailer (around £10) to get the plastics and trim looking like new. It's really good stuff and lasts a fairly long time (I'm now on my third bottle, have used it for over a year). It doesn't leave any sort of finish; trim looks natural.
If you are like me and you like your leather steering wheel to feel like the day you bought the car, I only recommend steam. I've tried all sorts of leather cleaners and conditioners, sprays and wipes and none are more effective than steam. I've bought a steam cleaner now, but I used to fill a plastic jug with boiling water, soak a clean microfibre in it, put heavy duty waterproof gloves on, wring that microfibre out and wrap it around the steering wheel whilst wiping gently in the direction of the steering wheel. The steam opens the leather's pores and the dirt lifts straight out. It's a cheap and effective way to keep your steering wheel perfect.
