Not to ruffle any feathers but as a professional custom powder coater I must correct some misinformation here starting with the 1st post:
Magyar: No powder that I work with, other than Red Oxide primer (1 min.@462F)used to prevent outgassing of cast parts, exceeds 400F for more than 10 minutes. This temp will not affect a steel wheel as far as strength or warpage.
Patrick/Nevets: Most of the powders I use are sprayed to a thickness of between 1.5-2.5mil. A standard auto clear coat paint job today is in the 5-6mil range. Clear coat paint alone is in the 1.2+ range not including the E coat, primer, and color coat. Powder is not "considerably thicker".
I do a lot of wheel and just finished a set of '57 Triumph TR3 wheels. Most spoke nipples have a recess before the threads start and if the powder is applied in its correct mil thickness will not seal the connection betweeen the spoke and nipple. While the powder does flow smooth during the cure process it doesnt flow and seal everything as stated above (or below depending on how your post read is set up).
In the pics below you can see that the nipple is not sealed around the rim hole. Hard to tell from these pics but the nipple and spoke are not sealed either so adjusting the spokes should not be an issue. I will say that if done properly I would prefer to have the wheel disassemble and coat each part separately and then reassembled. If coating as an assembly it is wise to have the wheel trued before doing so.
Heat from sand blasting is really only a concern on thin sheet metal such as fenders and such and then only if a non qualified person is doing the blasting. There is almost no heat build at all on a steel wheel and certainly no wheres near what it would take to cause any detrimental issue.
For numbers sake lets say a wheel needs to be a 100 to be in its safe zone. Most wheels are made to exceed this number by probably 25-50% more. When heating aluminum wheels to 500f or more it will weaken the wheel at that temp but when brought back to ambient will usually bring it back to within 2% of its original strength. So your wheel "is" infact weaker but still in its safe zone by 23-48%(Less so with steel than aluminum). When I started coating I heard all the nightmare stories you guys have heard and to protect myself from any liability I did some research and met with metallurgists to get advise form "experts". I have challenged people in that past to show me one documented case of a wheel failure directly attributed to the powder coating process. I am still waiting for someone to show me those results. I did speak to one racing wheeel manufacturer who claimed he had a personally documented wheel failure but it was under the intense stress of track racing., So for the race track I would refrain from coating aluminum wheels. I have raced NASCAR circle track cars for 20 years and have always run powder coated steel wheels with out issue. Many OEM wheels today are coated with powder.
You can see in this pic the with 2 coats of color that the nipple is not seald to the rim. Hard to see that the nipple/spoke connection is also not sealed(looks like the are but trust me they are not) and can still be adjusted if need be. BTW these were coated in a RAL7035 Light Gray that cures at 340F for 10minutes: