Best time for such photography is late evening since you're going to keep camera's shutter open for more than 1 second, so even dark skies will be lit up.

Essential ingredients:

Camera capable of atleast aperture priority - full manual is preferred, tripod

Bicycle, steel-wool, battery (get the ones that have both positive and negative terminals on top)

I've read that if you get steel wool of a low guage as possible, the embers are cleaner. Ensure you have a little prior experience lighting the steel wool - it is fairly easy.. Just stick the battery's terminals into the steel wool and it should start "embering" - don't forget to remove the battery once the embering starts. You'll be able to judge how much time you have after you light the steel wool, and plan accordingly for the process outlined below.

Fun fact - the steel wool starts embering because the various coils in the steel wool are short-circuiting due to contact with the battery terminals - it is like almost zero resistance to voltage

Another fun fact - steel wool embers are one of the best and fastest ways to get a camp-fire started - think of them as igniter fuel

Anyways - onto the process of the photography... Setup camera on tripod, set to either full-manual mode or aperture-priority mode, close aperture as much as possible - F8 in most cases/cameras, set ISO to 100 if you want sharp pics with lesa noise, set shutter speed to about 2 or 3 seconds, and set to delayed shutter - 2 seconds should suffice. SWITCH OFF FLASH!!

Invert bicycle and make it balance on the seat and handlebars; Stick a pad of steel wool in the rim. It is better to pour water near and around the bicycle area to wet the area so that nothing flammable catches fire due to the burning embers. Also, better you keep a fire-extinguisher ready - for those "just in case" moments

When you're sure the bicycle is steady, gently touch the battery's terminals into the steel wool -that should set the steel wool burning. Spin the wheel for a decent enough speed.

Run back to tripod/camera; in camera, half depress the shutter to allow camera to focus on the bicycle's rims, and then click. The shutter will kick in after 2 seconds (because of delayed shutter) - this ensures that there wont be camera-shake due to finger pressing the shutter.

Let camera expose for the preset time, and voila - burning rims :D

All the best - hoping to see some exposureporn from you :)

Lemme know if you need any clarifications

Edit - check out Pyro by Dennis Calvert - this dude is a fucking magician when it comes to light- painting and exposure porn!!

Edit2 - damn - my mobile texting skills sucked donkey's ass - I did some minor typo corrections and reordered the content.