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I don't have a sticky steering wheel, however I had a similar problem with an expensive set of JBL studio monitors and someone made an unusual recommendation for a fix.
Dryer sheets! Damp ones.
I used these on my monitors and it removed the gunk. Dunno if it was the chemical in the sheets or the combo of that and the mild abrasive quality of the sheet.
Anyhow, I guess if anyone has a wheel they consider un-saveable it could be worth a try. I don't have a wheel to test and I make no promises.