What is this bug?
This looks like a leaf footed bug. http://www.ladybug.uconn.edu/hotissues/leaffootedbug.htm vw
Are they also called wheel bugs? Some people around here are saying they bite and eat stink bugs. Is this true?
The insect in the photo is a leaf-footed bug. They feed on plants.
Here is a nice site about them: http://bugoftheweek.com/blog/2013/1/9/leaf-footed-lovers-ileptoglossus-sppi
Wheel bugs are predators, a type of assassin bug and feed on other insects such as stinkbugs. See our website for photos http://extension.umd.edu/hgic/insects/predators-assassin-bugs