Mike is right, as usual. Those microscopic rotary parts are more like bearings, or even like electric motors, than wheels. If that is OK by you, then they are the only known biological wheels in nature, human artefacts excluded.
However, there are many possible criteria for wheelness. If you will accept simple rolling as wheel activity (ie, not excluding structures without axles, or not load-bearing) then there are many examples, such as for example tumbleweeds that roll in the wind, dispersing their seeds (once they are dead of course, except for the seeds they bear).
The trouble is that axles and their bearings are not compatible with macroscopic biological mechanics. It would be very difficult to power a sizeable wheel and feed its tissue, particularly developing it functionally by natural selection.
However, the late M.C.Escher did design a characteristically charming fictional creature that certainly did stretch the idea of what one might think of has having some wheelness. It appears in several of his collected works. If I succeeded in uploading his "wentelteefje" (which sounds to me as though it literally means "little rotating bitch", but apparently is a slang term for French toast) you can see it on line.
OK, it seems that I succeeded, but not very well. you can see it in greater detail at
http://en.wikipedia.org/wiki/Curl-up
Cheers,
Jon
