Just a quick update this time...
I've gotten the wheel stained. I decided to go with a "dark walnut" I had on hand, which allows some of the wood grain to be seen but also looks sufficiently "old". I applied the stain with a rag and a chip brush:
I also did some additional weathering on the roof of the mill, and have removed the set of stairs on the side of the mill where the wheel will be mounted (I'll cover over this area with a wood 'panel' and maybe a little ladder up the door). I have the first stone color done as well... 2 more to go (both also shades of gray):
...and I also found these online, which will be great in the loading dock area of the mill once this is all done.