In accordance with the latest fashion trend, I have prepared body-coloured hubcaps for my alloy wheels:
They're fiberglass.
My wheels have removable center caps that cover the lug nuts. I applied mold release wax (which is awesome, by the way) to the wheel but not the center cap. Then I laid down two oversized pieces of glass cloth, and saturated them with epoxy resin. Once the epoxy was tacky, I applied fairing compound to hide the weave somewhat.
Let it cure, part the hubcap from the mold, and trim the excess cloth with tinsnips. The center cap is epoxied to the hub cap. Then I applied a few coats of base coat. I haven't bothered with clear coat, because it's probably not smooth enough to merit a gloss finish.
Here's a picture that NeilBlanchard took that shows how they attach.
They add about 165g of weight to each wheel (I didn't try for lightness) and you could make a set of four for around $40 in materials.