I've ordered wheels online, but never shipped personally. I can't see them being all *that* bad to ship as long as you package them individually. I wouldn't want to even think about the shipping cost/size of box if you were to try to do all 4 together.
You might want to try and see if you can score some boxes from a place that sells tires that would just be throwing them out (sears? a local autoshop?).
Package them up yourself, hop on the major shipping sites and do some estimates (varies depending on size of box/weight) and go from there.
Good luck!