I've been experimenting with bargain-basement alternatives on this exact issue.
I tried some shelf paper smoothies on my HCH and they did okay, but only for a week. Not much attachment, I made them just big enough to barely bridge the dished part of the wheel where the lugnuts are.
The second iteration came out much better. I made the discs, again from shelf paper so super-cheap, but much wider and with pie cuts to relieve stresses from wrapping over the edge and down onto the conical section of the wheel. Interestingly I expected the pie cuts to overlap a bit, instead they spread. It could be because I was adding a fair amount of tension to the paper to prevent fluttering.
[IMG]
Honda Civic Hybrid wheels[1] by
elhigh1, on Flickr[/IMG]
My younger boy went after the wheels on our '98 Forester, which has virtually no setback from the outer rim. There's just about no space there to land the grabbers for, for instance, traditional clip-in wheel covers. So he got the rest of the shelf paper and wrought this:
[IMG]
Subaru Forester wheels by
elhigh1, on Flickr[/IMG]
The original, minimalist discs on the Civic only lasted a week, these new ones have been hanging on for a month and still look good. Sweetie, trimming them out of the sheet, left the backing on where the paper bridges the dished part of the wheel, that may be helping. That may or may not have been an option on the Forester, I wasn't there when Son #2 did the work. I was so tickled to see it I just giggled. I admit it, I giggled.