The brake dust will be encased in water if the wheels are washed last - after I wash the wheels, I do the final rinse of the whole car ready for drying. I can understand why you do it the way you do, but I don't see there can be any difference by doing them last - I certainly wouldn't wash and dry the car, THEN do the wheels
I pre-wash the car, allow it to soak and then rinse. I then use the two bucket method to wash the car, finishing with the wheels (I always use two separate mits, one for the car and one for the wheels). I guess most of us have coated the wheels with a sealant of some description, so I can't really see the mit is going to be loaded with grit.
If the wheels are wash first, doesn't grit from the car go over the wheels?
I think it comes down to a thorough wash routine - I personally don't think either way is 'wrong'