I also concur that epoxy is the way to go. Try to clean the shaft of any oil, cleaning the hole in the wheel is more difficult, before you glue. I have a Lionel engine that has an epoxied wheel and it has worked well for several years.
Another solution is to order a new wheel. The splined shaft can be hammered into the new wheel. Postwar Lionel replacement wheels are available from several online Lionel parts dealers.