In my experience you shouldn't need to prime, being alloy rust isn't a concern and I doubt primer would bond any better to the material that standard wheel paint would (?). I've actually done the color step in whatever paint I happen to have available (usually tremclad or similar) and then make sure I use a proper wheel clearcoat for the final coat. Never had any problems with the numerous sets I've done like that.
I've found that the issue isn't really the heat affecting the paints bond...your wheel don't get THAT hot, unless maybe if you were tracking the car or something. What does cause an issue is the brake dust and grim that gets baked onto the rims, thats why I like to use a proper wheel clear coat for the final coat, as standard paint is not resistant/durable enough and ends up getting stained easily.